COMMONBREAKS: MATLAB functions to estimate common breaks for panel data

Jushan Bai

Statistical Software Components from Boston College Department of Economics

Abstract: This routine implements the method "Common breaks in means and variances for panel data", Bai J., J. Econometrics, 77, 157, 78-92, 2010.

Language: MATLAB
Requires: MATLAB
Keywords: panel data; common breaks; mean; variance (search for similar items in EconPapers)
Date: 2017-08-20
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mean_change.m program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/variance_change.m program code (text/plain)

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