https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Bai-amp-Perron-Test-codes-problems/m-p/245556#M1552 <P>Hello communities!<BR /><BR />I try to find structural brake changes on variable like IPI or unemployment rate, firstly the BP test gives me too many breaks (like 10 in 30 years, impossible!) so I changed the EPS option in the code :&nbsp;</P><PRE><CODE class=" language-sas">proc autoreg data=mem.ipiesptem; model e=e1 e2 / bp=(M=7, P=0, EPS=0.1, PRINTEST=ALL); run;</CODE></PRE><P><BR />after it i obtained like 6 breaks (with the SupF(L+1) test it's still too many (but we can continue the analysis with this number) and the SupF test gives me more than 7 breaks.<BR />So,</P><P><BR />1. Can I choose the number of break just with the SupF(L+1) test? (Because the other is always wrong.. and sequential test must be more robust than the simple SupF test)</P><P>2. Is the code adapted to my goal?<BR />3. Is there a solution/modification of my code in order to limit the BP test to the most important breaks in this time series?<BR /><BR />Many thanks for any help!! <span class="lia-unicode-emoji" title=":slightly_smiling_face:">🙂</span></P> Fri, 22 Jan 2016 21:44:05 GMT AME_11 2016-01-22T21:44:05Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Bai-amp-Perron-Test-codes-problems/m-p/245556#M1552 <P>Hello communities!<BR /><BR />I try to find structural brake changes on variable like IPI or unemployment rate, firstly the BP test gives me too many breaks (like 10 in 30 years, impossible!) so I changed the EPS option in the code :&nbsp;</P><PRE><CODE class=" language-sas">proc autoreg data=mem.ipiesptem; model e=e1 e2 / bp=(M=7, P=0, EPS=0.1, PRINTEST=ALL); run;</CODE></PRE><P><BR />after it i obtained like 6 breaks (with the SupF(L+1) test it's still too many (but we can continue the analysis with this number) and the SupF test gives me more than 7 breaks.<BR />So,</P><P><BR />1. Can I choose the number of break just with the SupF(L+1) test? (Because the other is always wrong.. and sequential test must be more robust than the simple SupF test)</P><P>2. Is the code adapted to my goal?<BR />3. Is there a solution/modification of my code in order to limit the BP test to the most important breaks in this time series?<BR /><BR />Many thanks for any help!! <span class="lia-unicode-emoji" title=":slightly_smiling_face:">🙂</span></P> Fri, 22 Jan 2016 21:44:05 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Bai-amp-Perron-Test-codes-problems/m-p/245556#M1552 AME_11 2016-01-22T21:44:05Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Bai-amp-Perron-Test-codes-problems/m-p/245968#M1556 <P>This type of question is best answered by SAS Technical Support: <A href="http://support.sas.com/techsup/contact/." target="_blank">http://support.sas.com/techsup/contact/.</A> Best of luck to you, and thank you for using the SAS online communities.<BR /><BR />Shelley Sessoms<BR />Online Community Manager</P> Mon, 25 Jan 2016 20:10:02 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Bai-amp-Perron-Test-codes-problems/m-p/245968#M1556 ShelleySessoms 2016-01-25T20:10:02Z