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
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Giovanni VECCHI
Dipartimento di Economia e Istituzioni
Universit� di Roma "Tor Vergata"
Via Columbia, 2
00133 Roma
Italy
voice + 39 (06) 7259 5730
fax + 39 (06) 2020 500
email [email protected]
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