The RATS Software Forum

I am estimating a VAR and I have identified 5 structural breaks in one of the series. I have decided to introduce 5 dummy variables, each dummy taking the value of 0 prior to the break date, and 1 after the break had occurred to the last date of the series. I want to ask if this is the right approach to dealing with multiple structural breaks in a series using dummies.
Thank you

How did you "identify" 5 structural breaks in one series? Structural breaks aren't in a series; they're in a model. And breaks in a simple univariate model may have no bearing on breaks in a VAR.