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Re: st: Bai Perron Test
From
Partho Sarkar <[email protected]>
To
[email protected]
Subject
Re: st: Bai Perron Test
Date
Sat, 10 Sep 2011 12:11:38 +0530
Purba, I have used R, though not for the Bai-Perron structural break
test. R is quite a well-known open-source statistical programming
language, with a rich & growing library of programs. It is an open
source free product, which you can download and install from
http://www.r-project.org/ . If you have never used R, it might take
you a little time to learn how, but if you are in the statistics
research profession, it is likely to be an useful addition to your
knowledge set.
All this is essentially quite independent of Eviews, though it seems
the latest Eviews package has some method of linking to R.
Best
Partho
________________________________________
From Muhammad Anees <[email protected]>
Date Fri, 9 Sep 2011 14:58:14 +0500
________________________________________
The Eviews has addin to conduct the Bai Perron test, which I assume is
Bai-Perron (1998) breakpoints test. It will require you the R. Please
check the link for more details. The third row in Table on
http://www.eviews.com/Addins/addins.shtml.
On Fri, Sep 9, 2011 at 2:20 PM, Purba Roy Choudhury
<[email protected]> wrote:
> Partho,
> Thanks....Have you cariied out the Bai Perron test In R? Actually I
> have no idea about R...
> Thanks again,
> Purba
> On 9/7/11, Partho Sarkar <[email protected]> wrote:
>> Purba, this question has been answered (in the negative, I am sorry to
>> say!) here:
>>
>> http://www.stata.com/statalist/archive/2005-12/msg00625.html
>>
>> I don't think the situation has changed since then. Even Eviews 7
>> does not have this yet (see
>> http://forums.eviews.com/viewtopic.php?f=8&t=1946 )
>>
>> But you can implement it in R: see
>> http://statmath.wu.ac.at/~zeileis/papers/Zeileis+Kleiber+Kraemer-2003.pdf
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