The RATS Software Forum

Dear Tom Doan,
Can you please advice me on how to test for structural breaks in a VAR/VECM using the Bai-Perron test either in RATS or any other econometric software package, as I am not able to find any option for this test in RAST. eviews offers a Bai-Perron test, but the test is only applicable for equations estimated by using least squares, not a VAR or VECM. Thank you.

Bai-Perron is strictly for univariate linear regressions. Bai, Lumsdaine and Stock is for general multivariate regressions with a single break. Qu and Perron(2007), "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, vol. 75 (2), pp. 459-502 has a general theory for breaks in multivariate regressions. However, the number-crunching can be done using the set up described in Section 11.3 for the (v9) User's Guide.

Hi Tom Doan,
Thank you for the reply. Do you know the econometric software that can be used to run a regression using the Bai, Lumdaine, and Stock test with a single break.
Thank you

You can do that with RATS. Didn't I already link to the forum post on that?