I can confirm that Professor Cottrell's suggestion works. the GRETL access to R is a very nice feature. Sent from my ASUS -------- Original Message -------- From:Allin Cottrell <cottrell(a)wfu.edu&gt; Sent:Sun, 28 Dec 2014 15:39:19 -0600 To:Gretl list <gretl-users(a)lists.wfu.edu&gt; Subject:Re: [Gretl-users] the Bai-Perron test for structural change On Fri, 26 Dec 2014, JOSÉ LUIS MARTÍNEZ-GONZÁLEZ wrote: 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. Allin Cottrell