## Example: GAUSS Sbreak procedure

This example follows the empirical application of Bai and Perron (2003). Below we use the **GAUSS** `sbreak` procedure to estimate breaks in the mean of the US expost real interest rate. The first step is to directly load the quarterly series of the three-month treasury bill provided in the file `real.dat`:

//Load TSMT library library tsmt; //Load y data load y[] = real.dat; //Specify regressors //Time varying coefficients in z z = ones(rows(y),1); //No time invariant regressors x = 0;

Next we declare and initialize the structural break control structure and set model specific parameters:

//Declare sbControl structure struct sbControl sbc0; //Initialize instance of structure sbc0 = sbControlCreate();

Then we specify the model parameters:

//Number of regressors subject to change sbc0.q = 1; //Number of structural changes sbc0.m = 5; //Trimming percentage sbc0.trim = 0.15; //Minimum length of segment (h > p + q) sbc0.h = 0; //Print iteration output sbc0.printOutput = 1; //Maximum number of iterations sbc0.maxIters = 40;

Finally we declare the output structure and call the `sbreak` procedure:

//Declare output structure struct sbOut SBout; //Estimate model SBout = sbreak(y,z,x,sbc0);

Which prints out the following report.

Global optimization of structural change model The model with 1 breaks has SSR : 644.99552 The dates of the breaks are: 79 The model with 2 breaks has SSR : 455.95018 The dates of the breaks are: 47 79 The model with 3 breaks has SSR : 445.18186 The dates of the breaks are: 24 47 79 The model with 4 breaks has SSR : 444.87975 The dates of the breaks are: 24 47 64 79 The model with 5 breaks has SSR : 449.63949 The dates of the breaks are: 16 31 47 64 79