bai-perron test for structural changes

Tuesday, 22 September 2015

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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