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Re: st: structural breaks


From   Richard Sperling <rsperling@boo.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: structural breaks
Date   Wed, 28 Aug 2002 11:10:40 -0400

On Wednesday 28 August 2002 10:54, Giovanni Vecchi wrote:
> 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.

Stata is a great program, but there is a much easier way to tackle this 
problem. Download the console version of Ox from Jurgen Dorrnik's web page at 
http://www.nuff.ox.ac.uk/Users/Doornik/. Ox has a Gauss engine that will 
allow you to run most Gauss code. Also take a look at "Running Gauss Programs 
Under Ox3" by Philip Viton at 
http://facweb.arch.ohio-state.edu/pviton/support/oxgauss.html.

HTH
-- 
Richard
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