BaiPerron for VAR
Posted: Thu May 17, 2012 5:13 pm
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 Changes in Multivariate Regression", 2005).
How to specify the list of regressors correctly in the @BaiPerron procedure?
Many thanks for your kind help!
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 Changes in Multivariate Regression", 2005).
How to specify the list of regressors correctly in the @BaiPerron procedure?
Many thanks for your kind help!