Bandwidth Selection in Bai and Perron (2003)
Posted: Thu Mar 03, 2016 7:58 am
In computing the break ranges with robust covariances, the code in @BaiPerron assumes that the bandwidth for the quadratic spectral kernel grows at a rate of 1/3; it also finds the optimal bandwidth assuming a constant parameter of 0.75:
Why are these numbers assumed?
Code: Select all
if robust {
mcov(lags=.75*(endr-startr+1)^.333,lwindow=quadratic) startr endr %resids
# %rlfromtable(%eqntable(eqnshift))
compute omega=%cmom/%nobs
compute omega1=%cmom/%nobs
}