Bai-Perron JAE 2003 Replication Files

[irfansystem]

I went through quite lots of paper which apply the Bai and Perron (1998, 2003), mostly they just mention the confidence interval dates around the break date. Very few articles mention other statistics (all sets of F statistics). I spent quite lots of time in trying to understand the code presented here and the BP articles. It is first of all difficult to compare the BP article due to differences in the results. Further there is no guide, or simple explanation/instructions of what is what and how they are presented in BP. If some one can do it, it would be a great help for people who are at the learning stage.

[TomDoan]

I do not understand the F(m) and F(m|m-1)....what do they exactly represent??

Breaks RSS BIC LWZ F(m) F(m|m-1)
0 1214.9219 2.51 2.55
1 644.9955 1.92 2.00 89.24 89.24
2 455.9502 1.62* 1.74* 83.23 41.46
3 445.1819 1.64 1.79 57.06 2.39
4 444.8797 1.69 1.88 42.41 0.07
5 449.6395 1.74 1.97 33.02 -1.03

F(m) is a test for m breaks vs 0 breaks. F(m|m-1) is a test for m breaks vs m-1 breaks.

[irfansystem]

Thank you Tom.