MULTIPLEBREAKS procedure (revised)

[TomDoan]

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.

multiplebreaks.src

(5.99 KiB) Downloaded 161 times

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}