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MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

This does multiple structural change analysis as described in Bai and Perron, but using a threshold variable other than time. Bai and Perron(2003), "Computation and Analysis of Multiple Structural Change Models", J. of Applied Econometrics, pp 1-22.

Suggested Citation

  • Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00138
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/multiplebreaks.src
    Download Restriction: no
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    More about this item

    Keywords

    Stability tests; structural breaks; RATS;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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