Timeline for Interpreting the output of structural break detection function
Current License: CC BY-SA 3.0
16 events
| when toggle format | what | by | license | comment | |
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| Aug 29, 2011 at 6:39 | comment | added | mpiktas | @Brandon, I've changed the wording. I though about it and I came to conclusion, that I use expression accepting null as a slang, I usually mean the correct version, but the correct version is too long :) | |
| Aug 29, 2011 at 6:37 | history | edited | mpiktas | CC BY-SA 3.0 |
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| Aug 25, 2011 at 23:58 | comment | added | Brandon Bertelsen | My teachers always get mad if we say "accept the null". They always seem to prefer "Do not reject the null". | |
| Aug 24, 2011 at 14:39 | comment | added | ECOtime | mpiktas, what do you think about ZIVOT? maybe i should use both? | |
| Aug 24, 2011 at 14:38 | vote | accept | ECOtime | ||
| Aug 24, 2011 at 14:13 | comment | added | ECOtime | mpiktas after this check I will use ADF and Johansen procedure for the cointegration, so surelly there are other tests after this. But, the other don't check structural breaks, for this reason i'm looking for a good method for breaks...(forex prices) | |
| Aug 24, 2011 at 14:05 | comment | added | mpiktas | @Ecotime, what is the purpose of the testing? If you want only a quick check, then you can perfectly assume that there are no structural breaks, but be prepared to revisit this assumption. | |
| Aug 24, 2011 at 14:04 | comment | added | mpiktas | @Ecotime, no method is perfect. Usually different methods should be used in different situations. Hence it is always prudent not to base your decision on one method only, unless you have a good reason for that. You did not give any context, hence the disclaimer attached. | |
| Aug 24, 2011 at 14:01 | comment | added | ECOtime | @ mpiktas, I'm testing forex prices time series. | |
| Aug 24, 2011 at 13:55 | comment | added | ECOtime | mpiktas I don't know you told me to do other investigation and i thought that this method is not very good. | |
| Aug 24, 2011 at 13:49 | comment | added | mpiktas | How do you define better? | |
| Aug 24, 2011 at 13:49 | comment | added | mpiktas | Null hypothesis is rejected if the p-value is less than the significance level. So if significance level is 0.05 and p-value is 0.063 null hypothesis should be accepted. Now null hypothesis is that there are no structural breaks. As for further investigation, there are a lot of things you can do, but they depend on your initial purpose of applying the test. | |
| Aug 24, 2011 at 13:46 | comment | added | ECOtime | better CUSUM Method? | |
| Aug 24, 2011 at 13:39 | comment | added | ECOtime | two things: (1) 0.063 is above 0.05 so why can i accept it? maybe should be below..no? (2) what other investigation should i do? what methods? thank you! | |
| Aug 24, 2011 at 13:31 | history | edited | mpiktas | CC BY-SA 3.0 |
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| Aug 24, 2011 at 13:07 | history | answered | mpiktas | CC BY-SA 3.0 |