Detecting structural break in commodity time series data
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Date
2010
Authors
Jatarona, Nurul Najwa
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Abstract
Structural break is an important issue in macroeconomic time series data. The aim of
this dissertation is to examine the structural break and to determine the exact break
date in the price of commodity data using monthly data. We used two different
techniques; first is Unit Root with Structural Break procedure and secondly is Zivot
and Andrews (1992) test that allows for detecting a break at an unknown date. The
results manage to detect structural break with different break date for different
technique used during the period 1989 to 2009. We also conduct Bai Perron (2003)
test allows for more than one structural break. The result show that we manage to
detect the best two break date for all three commodities.
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Keywords
Structure break , Commodity tie