The RATS Software Forum

Dear All,

If the data series is difference stationary, is it necessary to check whether (If any) unknown structural break is there. In case of my data set the period includes financial recession. How can i do the analysis.

I need your valuable suggestion in this regard.



With sincere regards,
Upananda

upani wrote:Dear All,

If the data series is difference stationary, is it necessary to check whether (If any) unknown structural break is there. In case of my data set the period includes financial recession. How can i do the analysis.

I need your valuable suggestion in this regard.

"Series" don't have structural breaks. Models (potentially) have structural breaks. Unless you specify a model and the type of break that might be present, it's not possible to suggest how to test for one. Have you looked at Chapter 11 in the User's Guide?