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.

Only a few lines need to adjust to match the model. The calculations rely upon SWEEP to do most of the number-crunching. The two SWEEP instructions (one without the break variable(s), one with them) depend upon the model being estimated, as does the INQUIRE at the beginning to get the range. The DISPLAY at the end also needs to be adjusted. All the other calculations (for picking lag length, finding the break and computing the confidence interval) depend only upon the statistics produced by SWEEP.

table4_univariate.rpf

Univariate models

(2.71 KiB) Downloaded 78 times

table4_bivariate.rpf

Bivariate models

(2.96 KiB) Downloaded 76 times

table4_trivariate.rpf

Trivariate model

(3.03 KiB) Downloaded 76 times

bls_restud.rat

Data file

(11.5 KiB) Downloaded 73 times