Unit root test with breakpoints in Eviews tutorial
Welcome to this comprehensive EViews video tutorial on conducting unit root tests with structural breakpoints. In this step-by-step guide, I will walk you through the entire process, making it easy and accessible for both beginners and experienced users.
In this EViews video tutorial, we will focus on the topic of the unit root test with a structural breakpoint. When conducting unit root tests, it is important to consider structural breaks in the series, as conventional tests may not accurately account for them. We will examine an example of a discrete change in the mean of an otherwise stationary series using EViews and observe the results of the Dickey-Fuller test. We will then introduce a dummy variable and demonstrate how its presence can cause inaccurate results when performing linear regression or unit root tests. We will discuss possible econometric procedures to address this issue, including breaking the sample into two and conducting a unit root test with a structural break. To illustrate this, we will use Perron's 1997 paper, which challenges Nelson and Plosser's findings in 1982 that most macroeconomic variables have unit root processes. Through this tutorial, viewers will gain a better understanding of the importance of considering structural breaks in unit root testing and various approaches to address them.
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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Introduction 0:00
📊 Example with generated data: 0:36
📊 How to generate Ar(1) series and dummy variable in Eviews: 1:29
📊 Breaking the Sample into two and ADF Testing: 6:11
📊 Unit Root test with breakpoints: 7:53
📊 Perron Test in Eviews: 9:14
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📚Recommended Literature:
📚Nelson & Plosser (1982): "Trends and random walks in macroeconmic time series: Some evidence and implications"
Link: http://schwert.ssb.rochester.edu/a425...
📚Pierre Perron (1989): "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis"
Link:https://www.ssc.wisc.edu/~bhansen/718...
📚Pierre Perron (1997): “further evidence on breaking trend functions in macroeconomic variables,”
Link: https://papyrus.bib.umontreal.ca/xmlu...
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✅ Other Very Useful Links:
🎬 Unit Root Test Tutorial:
• Unit root tests in Eviews - Stationarity
Interested in learning more?
🎬 Learn how to write your research paper in a fancy way in Latex with Overleaf: • Latex with Overleaf Tutorial/Course
🎬 More EViews related videos:
• Applied Time Series Analysis: Free Eviews ...
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Juan D'Amico
ForecastingEconomics®
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