BYPERRON: Stata module to determine structural breaks in time series models (Bai-Perron, 2003; Yamamoto-Perron, 2013)

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: byperron estimates and tests multiple structural changes in linear time series models, implementing both the classical time domain procedure of Bai and Perron (1998 & 2003) and its band spectral generalization by Yamamoto and Perron (2013). Three methods are provided: the full spectrum, which delivers the classical Bai-Perron tests and break dates; the truncated spectrum, which is robust to low frequency contamination of the errors such as level shifts, remaining trends or long memory; and a user-chosen frequency band, which tests stability at specific horizons such as business cycle frequencies.

Language: Stata
Requires: Stata version 14
Keywords: time series; structural breaks (search for similar items in EconPapers)
Date: 2026-07-22
Note: This module should be installed from within Stata by typing "ssc install byperron". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/b/byperron.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/byperron.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459808

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().