Re: [Gretl-users] the Bai-Perron test for structural change
On Sun, 28 Dec 2014, Allin Cottrell wrote:
On Fri, 26 Dec 2014, JOSÉ LUIS MARTÍNEZ-GONZÁLEZ wrote:
> Dear friends, how I can use the Bai-Perron test for structural change in
> Gretl?
To my knowledge, nobody has coded the Bai-Perron test in hansl (gretl's
scripting language) at this point. It would not be very difficult to do so,
given the GAUSS code made available by Bai and Perron.
In the meantime, one could use gretl's link to R and do this test using the
strucchange package for R.
This has come up before. I've got a complete implementation in Ox, which
is IMO much better than the GAUSS cose by the original authors. I never
found the time to translate it to hansl; it's a long job because my code
is very ox-ish in style (heavily object-oriented). If someone is
interested, I can send the whole thing and possibly help with little
things, but it's quite low on my priority list, so if you wait until I do
it myself you may be disappointed (QUITE disappointed).
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------