Re: [Gretl-users] interpreting the “StrucBreak” package for gretl

Tue, 16 Oct 2018 07:17:16 +0000 

 Thank you very much for the clarification. This has improved my
understanding on using the package.
Please when writing my report, do i refer to this test as Bai and Perron
(2003) test or Lucchetti and Schreiber(2018). I am asking this question
becuase i want to acknowledge the use of the package in my write up.

Thank you

On Mon, 15 Oct 2018 at 08:48, Sven Schreiber <svetosch(a)gmx.net> wrote:

> Am 15.10.2018 um 11:31 schrieb Yusuf Abduwahab Hassan:
>
>
> Can i safely conclude that there is no evidence of structural break in the
> chosen dates?
>
>
> No I don't think so.
>
> ? SB_Tests(&bII)
>
>
>
> ===================================================================
>
>    OUTPUT FROM THE TESTING PROCEDURES
>
> ===================================================================
>
> a) supF[Y.A.H1] <#m_8796068290093470441__msocom_1>  tests against a fixed
> number of breaks
>
> --------------------------------------------------------
>
>     supF(1|0)   supF(2|0)   supF(3|0)
>
>       11.432      11.189      10.897
>
>
>
> Critical values:
>
>            supF(1|0)   supF(2|0)   supF(3|0)
>
> 10%           10.37        9.43        8.48
>
> 5%            12.25       10.58        9.29
>
> 2.5%          13.86       11.63       10.14
>
> 1%            16.19       12.90       11.12
>
>
> Testing none against 2 or 3 breaks is significant here at "conventional"
> levels. Against 1 break it is borderline (10%, but not 5%).
>
> --------------------------------------------------------
>
> b) Dmax tests against an unknown number of breaks
>
> --------------------------------------------------------
>
> UDmax test: 11.431741
>
> Crit. values: 10%: 10.86 5%: 12.59 2.5%: 14.15 1%: 16.19
>
>
>
> ........................................................
>
>        WDmax test    (crit. val.)
>
> 10%       13.33         11.71
>
> 5%        14.37         13.66
>
> 2.5%      14.90         15.33
>
> 1%        15.87         17.80
>
> ********************************************************
>
>
> Both UDmax and WDmax again borderline, and as it says, against an
> unspecified (unknown) number of breaks under the alternative hypothesis.
>
> supF(l+1|l) tests using global optimizers under the null
>
> --------------------------------------------------------
>
> supF(2|1)     10.93  1981
>
> supF(3|2)     10.70  1993
>
> --------------------------------------------------------
>
> Critical values:   10%    5%  2.5%    1%
>
>        supF(2|1)  12.19 13.83 15.51 17.58
>
>        supF(3|2)  13.20 14.73 16.55 18.31
>
>
> These test results are not significant.
>
> So taking these results together the evidence is mixed in my view.
>
> cheers,
> sven
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> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users



-- 






*Yusuf Abdulwahab Hassan.Department of Economics and Development
Studies.Federal University of Kashere,Gombe.+234
8036830166.yabdulwahab(a)fukashere.edu.ng <yabdulwahab(a)fukashere.edu.ng>*
Thank you very much for the clarification. This has improved my understanding on using the package.
Please when writing my report, do i refer to this test as Bai and Perron (2003) test or Lucchetti and Schreiber(2018). I am asking this question becuase i want to acknowledge the use of the package in my write up.

Thank you

On Mon, 15 Oct 2018 at 08:48, Sven Schreiber <sveto...@gmx.net> wrote:
Am 15.10.2018 um 11:31 schrieb Yusuf Abduwahab Hassan:

Can i safely conclude that there is no evidence of structural break in the chosen dates?

No I don't think so.

? SB_Tests(&bII)

 

===================================================================

   OUTPUT FROM THE TESTING PROCEDURES

===================================================================

a) supF[Y.A.H1]  tests against a fixed number of breaks

--------------------------------------------------------

    supF(1|0)   supF(2|0)   supF(3|0)

      11.432      11.189      10.897

 

Critical values:

           supF(1|0)   supF(2|0)   supF(3|0)

10%           10.37        9.43        8.48

5%            12.25       10.58        9.29

2.5%          13.86       11.63       10.14

1%            16.19       12.90       11.12


Testing none against 2 or 3 breaks is significant here at "conventional" levels. Against 1 break it is borderline (10%, but not 5%).

--------------------------------------------------------

b) Dmax tests against an unknown number of breaks

--------------------------------------------------------

UDmax test: 11.431741

Crit. values: 10%: 10.86 5%: 12.59 2.5%: 14.15 1%: 16.19

 

........................................................

       WDmax test    (crit. val.)

10%       13.33         11.71

5%        14.37         13.66

2.5%      14.90         15.33

1%        15.87         17.80

********************************************************


Both UDmax and WDmax again borderline, and as it says, against an unspecified (unknown) number of breaks under the alternative hypothesis.

supF(l+1|l) tests using global optimizers under the null

--------------------------------------------------------

supF(2|1)     10.93  1981

supF(3|2)     10.70  1993

--------------------------------------------------------

Critical values:   10%    5%  2.5%    1%

       supF(2|1)  12.19 13.83 15.51 17.58

       supF(3|2)  13.20 14.73 16.55 18.31


These test results are not significant.

So taking these results together the evidence is mixed in my view.

cheers,
sven
_______________________________________________
Gretl-users mailing list
gretl-us...@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users


--

Yusuf Abdulwahab Hassan.
Department of Economics and Development Studies.
Federal University of Kashere,Gombe.
+234 8036830166.
yabdulwa...@fukashere.edu.ng


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