# structural breaks in time series using matlab

in a plot of my time series there is clearly visible that there is structural break, but I have to find the exact date. I want test this with the chow test. Although I understand how to perform this test if the date of the structural break is know, by simply using a linear regression with two dummy's one for the intercept and one for the slope,

$R_t$ = $\beta_0$+ $\beta_0^* · D_i + \beta_1 R_{m,t} + \beta_1^* · D_t · R_{m,t} + ε_t,$

Than using the chow test.. But if I do not know the exact date, (in other words: I do not know when $D_i$ and $D_t$ should be 1) how can I find the exact date?

Thank you very much for reply

• You tagged the question as "cointegration", but do not mention it... are you asking for a "normal" relationship, or one where R and R_m might are potentially unit roots? – Matifou Jun 18 '14 at 16:06