Hi all, for anyone who is interested in this topic. You can now refer to this excellent post.

For example, the Bitcoin price data which is easy to obtained. In different periods of time, the series illustrates different behaviors. I can determine at least two breakpoints for the whole time series in Eviews. Can I do the same thing in Mathematica in a straightforward way?

I do not have access to Eviews on my personal Mac, or else, I'm able show you screenshots of structural break test result by Eviews. However, I just generate some random numbers from normal distribution and combine them together, from which you can obviously notice a jump from graph. Can Mathematica detect that structural break and determine the time of that breakpoint?

https://www.wolframcloud.com/objects/81e17497-e6e3-4b1f-b11f-7576d400ec59

Hi Neil,

Thank you so much for your answer.

Your solution works well on my sample data, but the case is that my sample data does only contain one innovation on mean. However, for the real world case, such as Bitcoin price data, there might be a combination of innovations on many parameters, and the underlying distribution in each period may vary as well (ARMA + Random Walk + AR, with two structural breaks, for example).

I create a different time series, which simply combines two AR(1) process, but with different parameters. Then the structural break is not that obvious. https://www.wolframcloud.com/objects/7dd2812d-1b12-47bf-a1e8-d48303fe28cd

So, I just wonder, does mathematica have a universal (or partly universal) way/function to detect structural break? Just as Chow test or Bai-Perron test.

Best,

Tuoyi