Forecasting using SAS Forecast Server, SAS/ETS, and more

Bai & Perron Test codes problems

Reply
Frequent Learner
Posts: 1

Bai & Perron Test codes problems

Hello communities!

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 : 

proc autoreg data=mem.ipiesptem; 
model e=e1 e2 / bp=(M=7, P=0, EPS=0.1, PRINTEST=ALL); run;


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.
So,


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)

2. Is the code adapted to my goal?
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?

Many thanks for any help!! Smiley Happy

Community Manager
Posts: 352

Re: Bai & Perron Test codes problems

This type of question is best answered by SAS Technical Support: http://support.sas.com/techsup/contact/. Best of luck to you, and thank you for using the SAS online communities.

Shelley Sessoms
Online Community Manager

Ask a Question
Discussion stats
  • 1 reply
  • 336 views
  • 0 likes
  • 2 in conversation