[Gretl-users] bai-perron test for structural changes
Hi all,
I have found a discussion from last December about performing the
Bai-Perron test for structural changes in Gretl.
Eventually it was suggested to exploit Gretl’s link to R and do this test
using the strucchange package for R. Could someone help me in doing this? I
am far to be defined an expert in coding and programming… Thank you so much
Stefano
(I copy and paste below the discussion that I have found in the archive – I
was not part of the mailing list at the time).
On Sun, 28 Dec 2014, Sven Schreiber wrote:
>>
* Am 28.12.2014 um 23:11 schrieb Riccardo (Jack) Lucchetti:*
>* On Sun, 28 Dec 2014, Allin Cottrell wrote:*
>>* 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).*
* I cannot realistically promise to complete a port to hansl, but I
have*
* recently started to explore the gretl-to-Ox link for another
real-world*
* scenario. So I could give it a try to make a hansl wrapper around
your*
* (Jack's) Ox code. Caveat: I have noticed that the possible
interactions*
* between gretl and Ox within the 'foreign language=Ox'
framework seem to*
* be more limited than with other languages, so I might come up with
some*
* corresponding feature requests along the way.*
* Of course that requires Ox to be installed, but since it is costless
for*
* academics I guess it might acceptable for the medium term. BTW,
what's*
* the relationship between R's 'strucchange' and
Jack's Ox code in terms*
* of features?*
I have no idea. :D
I wrote the code a while back, used it for what I needed it, and then
become abandonware. I'll send you a zipfile privately.
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