RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR
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.
|Date of creation:|
|Note:||RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rtz00171. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.