OPEN DATA GDP.RAT
CALENDAR(Q) 47:1
DATA(FORMAT=RATS,COMPACT=AVERAGE) 47:01 93:04 P16 GDPQ
** COMPUTE GROWTH RATE **
set gro = (log(GDPQ/GDPQ{1})-log(P16/P16{1}))*400
** DEMEAN DATA **
STATS GRO
set xa = gro-%mean
** WHITEN GROWTH DATA **
LINREG XA / EE
# XA{1 to 4}
compute beta1 = %BETA(1)
compute beta2 = %BETA(2)
compute beta3 = %BETA(3)
compute beta4 = %BETA(4)
compute see=%SEESQ^0.5
compute sv=see/(1-(beta1+beta2+beta3+beta4))
set grofilt = gro-beta1*GRO{1}-beta2*GRO{2}-beta3*GRO{3}-beta4*GRO{4}

** COMPUTE BREAK TEST STATISTICS ON WHITENED DATA **
* USE ASMYPTOTIC APPROXIMATE P-VALUES
*@APBreakTest  grofilt
*# constant

* USE BOOSTRAPPED P-VALUES
linreg  grofilt
# constant
@RegHBreakCI(REPS=1000,PERCENTILES=||0.05,0.95||)