A SAS macro for examining stationarity under the presence of endogenous structural breaks

Abstract

The endogenous structural break literature presents numerous computationally intensive procedures for the examination of stationarity under the presence of single or multiple structural breaks. Application of these grid-search procedures is rather complicated and not many researchers have access to code that can easily be applied. In this article, we present a SAS macro, that allows the examination of stationarity under the assumption of either one or two, endogenously determined, structural breaks using the Zivot and Andrews (1992) and the Lumsdaine and Papell (1997) methodologies. We demonstrate the macro using the Nelson-Plosser (Nelson and Plosser, 1982) data, that was also used by Zivot and Andrews (1992) and Lumsdaine and Papell (1997), to highlight differences and similarities of the macro command with the original results published.