carrion silvestre unit root test

If I want to perform the Carrion-i-Silvestre test on a specific series only, what should I do? For instance, I've already identified the break dates, the series, and the number of breaks using the Bai-Perron test. Now, I need a code to perform a stationarity analysis on a series with 4 breaks. Specifically, I want to determine whether the series is stationary or not, and if not, at what order it becomes stationary. Is there a code available for this purpose in the Carrion-i-Silvestre test or the tspdlib library?

1 Answer

0

Hello,

Great question!

The sbur_gls procedure performs a unit root test with up to five structural breaks based on Carrion-i-Silvestre, J. L., Kim, D., & Perron, P. (2009).

Eric

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Eric

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