Structural-break unit root model from Perron (1989)

[ninalvb]

I'm doing research into the effect of new packaging of standard private label and into the effect of introducing a premium private label on the whole productcategorie (private label & national brands).

I'm going to use the structural-break unit root test from Perron (1989), but I'm not familiar with this model. I may omit the unit root part and expand the model all by myself with variables I think they would be interesting. Furthermore, I think there will be two breaks in the model (one for changing packaging and one for introducing a productline).

I want to know how you can run this in SPSS. I want to know the steps I must taken do get the results.  Can someone help me to explain how to build this model and how I'm regressing this with SPSS?

Thank you.

For the article of Perron (1989)
http://links.jstor.org/sici?sici=0012-9682%28198911%2957%3A6%3C1361%3ATGCTOP%3E2.0.CO%3B2-W 

For the article of Deleersnijder et al. (2002)
http://repub.eur.nl/res/pub/171/ERS-2002-22-MKT.pdf

[Jon K Peck]

If you install the R Essentials from the SPSS Community site (www.ibm.com/developerworks/spssdevcentral), you can use the following code to get the Augmented Dickey-Fuller and Phillips-Perron unit root tests.  Change the (case-sensitive) variable name as appropriate.  There are other parameter variables available.  This examples uses all defaults.

begin program r.
# Use the next line only the first time this is run
install.packages("urca", repos="http://cran.us.r-project.org")
library(tseries)
library(urca)
# change the variable name below as appropriate
dta = spssdata.GetDataFromSPSS("Market_1")
adf.test(dta[,1])
PP.test(dta[,1])
ur.pp(dta[,1])
end program.


Jon Peck (no "h") aka Kim
Senior Software Engineer, IBM
[hidden email]
phone: [phone]




From:        ninalvb <[hidden email]>
To:        [hidden email],
Date:        05/28/2013 04:07 PM
Subject:        [SPSSX-L] Structural-break unit root model from Perron (1989)
Sent by:        "SPSSX(r) Discussion" <[hidden email]>

---

I'm doing research into the effect of new packaging of standard private label
and into the effect of introducing a premium private label on the whole
productcategorie (private label & national brands).

I'm going to use the structural-break unit root test from Perron (1989), but
I'm not familiar with this model. I may omit the unit root part and expand
the model all by myself with variables I think they would be interesting.
Furthermore, I think there will be two breaks in the model (one for changing
packaging and one for introducing a productline).

I want to know how you can run this in SPSS. I want to know the steps I must
taken do get the results.  Can someone help me to explain how to build this
model and how I'm regressing this with SPSS?

Thank you.

For the article of Perron (1989)
http://links.jstor.org/sici?sici=0012-9682%28198911%2957%3A6%3C1361%3ATGCTOP%3E2.0.CO%3B2-W

For the article of Deleersnijder et al. (2002)
http://repub.eur.nl/res/pub/171/ERS-2002-22-MKT.pdf



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