A SAS macro for examining stationarity under the presence of endogenous structural breaks Online publication date: Tue, 27-Apr-2021
by Dimitrios Dadakas; Scott Fargher
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 11, No. 2, 2021
Abstract: The endogenous structural break literature presents numerous computationally intensive procedures for the examination of stationarity under the presence of single or multiple structural breaks. Application of these grid-search procedures is rather complicated and not many researchers have access to code that can easily be applied. In this article, we present a SAS macro, that allows the examination of stationarity under the assumption of either one or two, endogenously determined, structural breaks using the Zivot and Andrews (1992) and the Lumsdaine and Papell (1997) methodologies. We demonstrate the macro using the Nelson-Plosser (Nelson and Plosser, 1982) data, that was also used by Zivot and Andrews (1992) and Lumsdaine and Papell (1997), to highlight differences and similarities of the macro command with the original results published.
Online publication date: Tue, 27-Apr-2021
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Computational Economics and Econometrics (IJCEE):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email firstname.lastname@example.org