Bai Perron and Moving Average

Discussion of models with structural breaks or endogenous switching.
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miles
Posts: 1
Joined: Fri Dec 15, 2006 3:04 pm

Bai Perron and Moving Average

Unread post by miles »

Does anyone know how, when you're using the Bai-Perron technique, to include moving average (MA) terms in the model that you want to apply the Bai-Perron technique to?
Thanks,
Bill
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Bai Perron and Moving Average

Unread post by TomDoan »

None of the streamlined calculations would apply to models with moving averages or any other form of non-linearity. Anything like that would require a brute force nested grid search.
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