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st: structural breaks


From   "Giovanni Vecchi" <vecchi@economia.uniroma2.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: structural breaks
Date   Wed, 28 Aug 2002 16:54:09 +0200

Dear statalisters:

in a recent article published in the Journal of Economic Perspectives,
Bruce Hansen has provided an excellent introduction to the issue of
structural breaks in time series data (see JEP, vol. 15(4): 117-128). 

Prof. Hansen has made available both the GAUSS programs and the data
needed to replicate the empirical work in the above paper
(http://www.ssc.wisc.edu/~bhansen/progs/jep_01.html).

My question: has anybody by any chance translated the GAUSS programs
into Stata? I am particularly interested in estimating the Bai
confidence interval for the breakdate, but am having hard time with
GAUSS code!

Any help is greatly appreciated.


Giovanni



-----------------------------------------------
Giovanni VECCHI
Dipartimento di Economia e Istituzioni
UniversitÓ di Roma "Tor Vergata"
Via Columbia, 2
00133 Roma
Italy

voice + 39 (06) 7259 5730
fax   + 39 (06) 2020 500
email   vecchi@economia.uniroma2.it
-----------------------------------------------

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