The RATS Software Forum

Dear Tom, Does it make sense to use Structural decomposition, instead of Cholesky (or GIRF), and do the spillover index analysis as in Diebold and Yilmaz (2009)? I have amended the code by estimating an SVAR model and everything seems to work fine up to the generation of the Spillover table. However...

Dear Tom, Dear community, I am looking for the code of the following paper: Zhongjun Qu & Pierre Perron, 2007. "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, vol. 75 (2), pp. 459-502. This test can detect multiple structural changes/breaks that c...