EViews Tutorial

Unit Root Tests with Breakpoints in Eviews

Accounting for possible breakpoints in your data is very important. Unit root tests are biased toward a false unit root null when the data are trend stationary with a structural break.

In this tutorial you will learn the following:

  • We will replicate Perron paper’s  finding.
  • I show you how to generate a stationary Ar(1) process in EViews and conduct unit root tests
  • What happens if there is a sudden break in a stationary series? We check the unit root test in an Ar(1) with a break
  • I teach you how to generate a dummy variable in EViews.
  • We conduct the unit root test with breakpoints as in Perron
  • How to deal with breaks.

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