厦门大学出了一本这方面的书你可以找到看看,具体作者我不太清楚了.

多在网络上找找这样的文章不知有多少,当然是国外的.

楼上的兄台，能不能告诉我书名大概是什么啊？

本人急需

多谢了

那有没有关于这方面的操作的呢?

急啊~

This is the seminal work by Andrews (1993) about unknown structural break tests. You might incorporate this test in unite root test. For example, the persistence parameter in an AR process might have changed over time which can induce deceptively high value of autoregressive root.

Bai and Perron (1998;2003) and some others are simply extensions of this single break tests to multiple ones. However, one has to specify maximum break numbers. Another disadvantage of Bai-Perron algorithm is that the tests do not provide p-values. Andrews (1993) and Andrews and Ploberger (1994) are the most elegant ones. In particular, the exponential Wald statistic and Average Wald statistic are optimal.

I have some experience of this, and Gauss code is available when requested from 四海为家。

Kindly regards.

48179.pdf
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[此贴子已经被作者于2006-4-13 1:15:08编辑过]