Qu and Perron (2007) - Multivariate Structural change
Posted: Fri Oct 26, 2012 10:23 am
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 can occur at unknown dates in a system of equations.
I would be very grateful if anyone has and can share this code.
Thank you in advance.
Cheers,
Nikos
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 can occur at unknown dates in a system of equations.
I would be very grateful if anyone has and can share this code.
Thank you in advance.
Cheers,
Nikos