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

Author

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  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

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.

Suggested Citation

  • Ozan Eruygur, 2026. "BYPERRON: Stata module to determine structural breaks in time series models (Bai-Perron, 2003; Yamamoto-Perron, 2013)," Statistical Software Components S459808, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459808
    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).
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/b/byperron.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/byperron.sthlp
    File Function: help file
    Download Restriction: no
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