Structural Break

Consumptions. I tested it with Dickey-Fuller and the result is I(2). Then, I continue to run it

with Clemente-Motanes-Reyes for 2 structural break and 1 structural break (Clemao2 and

clemao1), respectively. The result is shown in this picture. Could anyone help me explain

the result, This Data has 1 structural break or 2? (Dec 3, 2016)

Muili Adebayo Hamid commented> The Du1 (1996) and Du2 (2004) ,shows the dummies

for the period of structural breaks as suggested by the test. checking the significance of

the pvalues of the break , it is apparent that there's a break during this period and such

break takes occurs rapidly judging by the AO (additive outlier ) approach used. the null

hypothesis for the test is = there's unit root while the alternative is that there's no unit root.

the min -t ( rho -1) is 2.789 and the critical value at 5% level of significance for 2 periods is

5.490. thus the min t calculated < min t critical. thus, the null hypothesis of unit root cannot

be rejected. hence, we conclude that. in the presence of rapid structural breaks in the two

periods, there's still unit root. which means the series is still nonstationary. in the second

result shows that du1 the dummy for 1999 structural break is significant at the

conventional level of sig, and also exhibits a rapid structural break due to the AO

approach, . the null hypothesis of unit root cannot be rejected as the rho -1 (1.931) is <

The critical value of 1 structural break of 3.560. thus, we conclude that even with the

structural break, the series is still non stationary. you can check related stata journal on

this test or see the work of Isabelle (2009) " test and structural break in Sweden electricity

price.

Ade Kutu

Afolabi Luqman

Abdullah Sonnet

Asad Zaman

Atiq Rehman

Burcu Özcan

Ghumro Niaz Hussain

Muhammad Anees

Mohammad Zhafran

Muzammil Bhatti

Monis Syed

Mine PD

Moulana N. Cholovik

Muili Adebayo Hamid

Nicat Gasim

Najid Iqbal

Nasiru Inuwa

Noman Arshed

Rapelanoro Nady

Seye Olasehinde-Williams

Suborno Aditya

Sayed Hossain

Shishir Sakya

Sheikh Muzammil Naseer

Tella Oluwatoba Ibrahim

Younes Azzouz

Meo School of Research

Shishir Shakya

Noman Arshed

Hossain Academy Note

Univariate Models |

Multivariate Models |

Panel Data Model |