BaiPerron for VAR

Discussion of models with structural breaks or endogenous switching.
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OSUPolisci
Posts: 2
Joined: Thu May 17, 2012 9:01 am

BaiPerron for VAR

Unread post by OSUPolisci »

Hello,

I would like to do a test for multiple breaks at unknown dates on a VAR equation (see Bai 2000 "Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices", and Qu and Perron "Estimating and Testing Multiple Structural Changes in Multivariate Regression", 2005).
How to specify the list of regressors correctly in the @BaiPerron procedure?

Many thanks for your kind help!
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