Pierre Perron and Yohei Yamamoto, "Using OLS to Estimate and Test for
Structural Changes in Models with Endogenous Regressors", Journal of
Applied Econometrics, Vol. 30, No. 1, 2015, pp. 119-144.

This folder includes the data (py-data.csv : 25KB), main script file
(main.m), and function files (m-break.zip) of Bai and Perron (1998)
procedure. All files are ASCII files in DOS format.

The files py-data.csv and main.m are zipped in the file py-files.zip.
Unix/Linux users should use "unzip -a".

The data were originally downloaded from Andre Kurmann's web site
(Kurmann, 2007). It contains 15 time series from 1947Q1 to 1998Q2 (206
quarters). 

The function files are also provided by the authors' website.
http://people.bu.edu/perron/code.html

The file main.m consists of the following sections:

% 0. Data 
% 0-1. parameter settings
% 0-2. data loading
% 0-3. data transformation
% 1. Structural change tests in the first stage
% 2. Estimation and tests  
% 2-1. first stage regression
% 2-2. second stage estimation
% 2-3. HHB procedure
% 2-4. subsample coefficients and moments
% 2-5. fixed regressors bootstrap (supressed initially)
% 2-6. CI for break dates

To replicate Table 4, set numbr=0 and check the results in 2-2. To
replicate Table 5, set numbr=1,2,3 and checkthe results in 1. To
replicate Table 6, set numbr=1,2 and check the results in 2-4,2-6.
Please identify the name of the variable for each result by yourself.