Bai-Perron test

[noetsi]

I run time series models and we are exploring if structural breaks are occurring (but we do not know for sure where the break point is, our data is in months and goes back about 12 years). I know of the Chow test in proc autoreg, but recently I ran into the  Bai-perron test which has some nice advantages - at least they seem nice. Unlike Chow it can detect multiple structural breaks and it appears (not entirely sure of this) to test for them automatically rather than you have to choose one point to test. But other than Proc Model (which is not a time series Proc and which I have struggled with in the past) I can't find this test. Does anyone know where it can be found (I have founding nothing on line that tells me) other than Proc Model? And more generally is there a simple way to know where various test are in SAS Procs, I usually just google this, but it is a slow uncertain way to do it.  I figure there is probably a tool to do this I just don't know 🙂

[sbxkoenk · Accepted solution]

The Bai-Perron (BP) tests for multiple structural changes are also in PROC AUTOREG (just like Chow tests).

Use the BP=(option-list) keyword in the MODEL statement of PROC AUTOREG.

Here's more info on these Bai-Perron (BP) tests.

Bai, J., and Perron, P. (2003). “Computation and Analysis of Multiple Structural Change Models.” Journal of Applied Econometrics 18:1–22. http://dx.doi.org/10.1002/jae.659.

Some tests and the PROCs they are in can be found here:

Usage Note 30333: FASTats: Frequently Asked-For Statistics
https://support.sas.com/kb/30/333.html

PROC UCM and PROC SSM also have ways to detect structural breaks !!

See also this paper:
Paper SAS456-2017
Detecting and Adjusting Structural Breaks in Time Series and Panel Data Using the SSM Procedure
Rajesh Selukar, SAS Institute Inc.

https://support.sas.com/resources/papers/proceedings17/SAS0456-2017.pdf

Ciao,

Koen

[noetsi]

thanks very much