RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR
AbstractReplication 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00171.
Programming language: RATS
Requires: RATS 7.00
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Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Bai, Jushan & Lumsdaine, Robin L & Stock, James H, 1998. "Testing for and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 395-432, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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