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The attached is a revised version of the MultipleBreaks procedure, which does multiple change point calculations on a linear model using a threshold variable other than time.



The following is an example. This uses the same data set as the Hansen ECM 1996 threshold autoregression replication.

Code: Select all

open data gnp.asc
calendar(q) 1947
data(format=free,org=columns) 1947:01 1990:03 gnp dontknow
*
set ggrowth = log(gnp/gnp{1})*400.0
*
@tar(laglist=||1,2,5||,nreps=1000) ggrowth

set lagtwo = ggrowth{2}
@multiplebreaks(thresh=lagtwo,max=3) ggrowth
# constant ggrowth{1 2 5}