Hello all
my questions are :
1. can I use the modified Dickey-Fuller Generalized Least Sequare (DFGLS) to test for unit roots with multiple breaks instead of Zivot-Andrews which I account for a single break in the data or is there another test I can use?
2. is it advisable to use a standard ADF test for the same data with multiple breaks after creating a break as a dummy variable?
Noted that I have data with multiple breaks in three years.
Thanks
Bolis
my questions are :
1. can I use the modified Dickey-Fuller Generalized Least Sequare (DFGLS) to test for unit roots with multiple breaks instead of Zivot-Andrews which I account for a single break in the data or is there another test I can use?
2. is it advisable to use a standard ADF test for the same data with multiple breaks after creating a break as a dummy variable?
Noted that I have data with multiple breaks in three years.
Thanks
Bolis