Bai-Perron test of structural breaks

[Zankawa]

Dear Tom Doan,
Can you please advice me on how to test for structural breaks in a VAR/VECM using the Bai-Perron test either in RATS or any other econometric software package, as I am not able to find any option for this test in RAST. eviews offers a Bai-Perron test, but the test is only applicable for equations estimated by using least squares, not a VAR or VECM. Thank you.

[TomDoan]

Bai-Perron is strictly for univariate linear regressions. Bai, Lumsdaine and Stock is for general multivariate regressions with a single break. Qu and Perron(2007), "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, vol. 75 (2), pp. 459-502 has a general theory for breaks in multivariate regressions. However, the number-crunching can be done using the set up described in Section 11.3 for the (v9) User's Guide.

[Zankawa]

Hi Tom Doan,
Thank you for the reply. Do you know the econometric software that can be used to run a regression using the Bai, Lumdaine, and Stock test with a single break.
Thank you

[TomDoan]

You can do that with RATS. Didn't I already link to the forum post on that?