MULTIPLEBREAKS Procedure

This does multiple structural change analysis as described in Bai and Perron(2003), but using a threshold variable other than time. The related procedure which does the breaks based upon time from the Bai-Perron paper is @BaiPerron.

@MULTIPLEBREAKS( options ) depvar start end

# list of regressors (in regression format)

Parameters

depvar	dependent variable
start, end	range for regression. By default, the maximum range permitted by all variables involved in the regression.

Options

MINSPAN=shortest distance between two breaks [number of regressors]

MAXBREAKS=maximum breaks allowed [2]

THRESH=threshold series

If omitted, time is used. If you're using a lagged value, you need to create the lag as a separate series.