Bai, Lumsdaine, Stock (1998) VAR Breaks

[TomDoan]

These are replication files for Bai, Lumsdaine and Stock(1998), "Testing For and Dating Common Breaks in Multivariate Time Series", Review of Economic Studies, vol 65, no 3, 395-432, for their European data. BLS tests for a common break for a VAR (or similar linear system with common RHS variables). These examples all allow for a break in the intercept. Their methods also permit a break in the full coefficient vector, though that probably permits too much freedom to be useful.

Note that the results for the break date in the paper are off by one (due to a programming error) relative to the one that these programs produce. Also, the definition of dt(k) after their equation (2.1) isn't what was intended--dt(k) should be 0 for t<k and 1 for t>=k. That's the convention in the literature for dating breaks. Their calculations actually used this revised definition and that's what we use.

Zip with programs and data

Detailed description