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This GAUSS code is a companion to
the paper Estimating and Testing Structural
Changes in Multivariate Regressions. It contains procedures to do
the following for a multi-equations model that allows multiple
structural changes and arbitrary restrictions on the coefficients: 1)
Estimate the model and construct confidence intervals for the estimates
(break dates and coefficients); 2) Compute various tests for the
presence of breaks; 3) Estimate and construct confidence intervals for
the break dates of a two equations locally ordered break model (and
construct the tests for the presence of breaks).
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GAUSS code: Estimating Restricted Structural Change Models (Journal of
Econometrics, 2006).
This GAUSS
code is a companion to the paper Estimating
Restricted Structural Change Models. It contains procedures to
do the following for a single equation model that allows multiple
structural changes and arbitrary restrictions on the coefficients: 1)
Estimate the model and construct confidence intervals for the
estimates (break dates and coefficients); 2) Compute the sup-F test
for breaks with restrictions; 3) Simulate the critical values of the
restricted structural change sup-F test.
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