RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Bai, Lumsdaine and Stock(1998), "Testing For and Dating Common Breaks in Multivariate Time Series", Review of Economic Studies, vol 65, no 3, 395-432. Calculates break statistics on a multivariate models with a common break across all equations.

Language: RATS
Requires: RATS 7.00
Keywords: VAR; Structural breaks (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/bai_lumsdaine_stock_restat1998.zip (application/zip)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00171

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