Stock and Watson (2007) consider an autoregressive distributed lag model for the change in the US inflation rate using the USMacroSW data Specifically, the model is inft 0 X 4 i 1 iinfti X 4 j 1 junemptj t Plot the sequence of F statistics for a single structural break for this ADL(4, 4) model using Fstats() and test for structural changes with the supF test

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Question: Stock and Watson (2007) consider an autoregressive distributed lag model for the change in the US inflation rate using the USMacroSW data. Specifically, the model

Stock and Watson (2007) consider an autoregressive distributed lag model for the change in the US inflation rate using the USMacroSW data. Specifically, the model is ∆inft = β0 + X 4 i=1 βi∆inft−i + X 4 j=1 γjunempt−j + εt. Plot the sequence of F statistics for a single structural break for this ADL(4, 4) model using Fstats() and test for structural changes with the supF test.

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