文件列表:

BRCODE.SRC (72527, 2009-02-24)
BREAK.PRG (8238, 2009-02-24)
REAL.DAT (2062, 1995-07-28)

October 11, 2004 This package contains 3 files: 1) break.prg This is the main program where you set up your data and options. The current setup is to test for and estimate shifts in means for the US real interest rate series (see Garcia nd Perron (1996), "An Analysis of the Real interest Rate under Regime Shifts," Review of Economics and Statistics, 78, 111-125). There are no real limitations on the length of the data set, the number of breaks, the number of regressors, etc. It depends on the amount of memory available. In many cases, the sample size can be a constraint since the program uses a T(T+1)/2 vector as a storage device to compute global optimizers (but the constraint is binding, in most cases, only if T is greater than 500). The structure of the program is such that what to do should be self explanatory. The main part is to set up your data in three parts: 1) the dependent variable (y), 2) the regressors whose coefficients are allowed to change (z, dimension q) and 3) the regressors whose coefficients are not allowed to change (x, dimension p). Note that even if there are no x's, you should initialize x to something like x=0. With these you need to specify p, q, and bigt (the effective sample size). You also need to specify m, the maximal number of breaks allowed (usually 5 if you want to use the table of critical values in Bai and Perron (19***)). Also h, which is the minimal length of a segment. When constructing the various tests, you should use h=int(eps1*T) where eps1 can take values .05, .10, .15 , .20 and .25 (critical values are available and printed as output for these cases). If estimation is the sole concern h an be set to any value greater than q. If you are using options like robust=1, hetvar=1 hetomega=1 or hetq=1, h or eps1 should be larger. To have the program perform some task or not simply put a 1 or a zero to the corresponding dummy. 2) brcode.src This is the main code. You should not have to modify it. 3) a file real.dat which contains the US real interest rate series mentioned above. Use it to run the program once to see if everything is OK. Note on the October 2004 version: This new version contains a correction for the construction of the confidence intervals of the estimates of the break dates as discussed in Zeileis, A. and C. Kleiber (2004), Validating Multiple Structural Change Models: A Case Study, University of Vienna, Austria. This program is distributed freely for non-profit academic purposes only. For other uses, please contact Pierre Perron at perron@bu.edu. A lot of effort has been put to construct this program and we would appreciate that you acknowledge using this code in your research and cite the relevant papers on which it is based: Bai, J. and P. Perron (19***), "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, 66, 47-78. and Bai, J, and P. Perron (19***), "Computation and Analysis of Multiple Structural Change Models," Journal of Applied Econometrics, 18, 1-22. Although a lot of efforts has been put in constructing the program, we cannot be held responsible for any consequences that could result from remaining errors. Comments about errors, possible improvements and so on are most welcomed and should be directed to Pierre Perron at perron@bu.edu. Thank you for your interest and good luck with the program. Pierre Perron Department of Economics Boston University 270 Bay State Road Boston, MA, 02215

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