Parameter stability test of VAR parameters

[ecrgap]

Hi all,

I was wondering if there is a procedure in RATS to perform the VAR parameters stability test of Bai, Lumsdaine and Stock (1998, ''Testing for and Dating Common Breaks in Multivariate Time Series'').

Thank you very much in advance.

[AhmedSahlool]

Hi,

I would like to know if there is a procedure in Rats to test the stability of parameters in VAR models.

I can see tests for single and multiple structural breaks, could I apply these tests for the VAR model (where an equation is built for each varaible)?

Are these test robust in the presence of lagged dependant variable among the regressors?

Thank you.

Ahmed Sahloul

[TomDoan]

The "European" data examples from Bai, Lumsdaine and Stock(1998) are posted at

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