The RATS Software Forum

Dear Tom, In your msvarsetup procedure, you write: * It also sets up the following: * Y = VECT[SERIES] of dependent variables * PT_T,PT_T1 and PSMOOTH are SERIES[VECT] used for computing and saving * the state probabilities. How can I retrieve that PT_T vector? In my Series window, it appears as tho...

Hello, I would like to do a test for multiple breaks at unknown dates on a VAR equation (see Bai 2000 "Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices", and Qu and Perron "Estimating and Testing Multiple Structural Ch...