GLS-detrending and regime-wise stationarity testing

Discussion of models with structural breaks or endogenous switching.
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unforgiven02
Posts: 8
Joined: Sat May 16, 2009 1:26 pm

GLS-detrending and regime-wise stationarity testing

Unread post by unforgiven02 »

Hi all,

i wish to replicate Claude Lopez's paper, GLS-detrending and regime-wise stationarity testing in small samples, Economics Letters,2009 using WinRats. Any suggestions?
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: GLS-detrending and regime-wise stationarity testing

Unread post by TomDoan »

The Perron-Rodriguez procedure does this with a single break and includes a GLS-detrending procedure as well. The GLS detrending procedure can fairly easily be adapted to allow for two breaks.

http://www.estima.com/procs_perl/700/pe ... riguez.src
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