qlr.cv: Calculates the critical value in a Quandt Likelihood...

In desk: Didactic Econometrics Starter Kit

Calculates the critical value in a Quandt Likelihood Ratio-Test for Structural Breaks in a Parameter with Unknown Break Date

Description

Calculates critical values for Quandt Likelihood Ratio-test (QLR) for structural breaks with unknown break date.

Usage

qlr.cv(tAll, from = round(0.15*tAll), to = round(0.85*tAll),
L = 2, sig.level = list(0.05, 0.01, 0.1))

Arguments

tAll	sample size.
from	start period of range to be analyzed for a break.
to	end period of range to be analyzed for a break.
L	number of parameters.
sig.level	significance level. Allowed values are 0.01, 0.05 or 0.10.

Value

A list object including:

lambda	the lambda correction value for the critical value.
range	range of values.
cv.chi2	critical value of chi^2-test statistics.
cv.f	critical value of F-test statistics.

References

Quandt, R.E. (1960): Tests of the Hypothesis That a Linear Regression Obeys Two Separate Regimes. Journal of the American Statistical Association 55, 324–30.

Hansen, B. (1996): “Inference When a Nuisance Parameter is Not Identified under the Null Hypothesis,” Econometrica, 64, 413–430.

Examples

qlr.cv(20, L = 2, sig.level = 0.01)

desk documentation built on May 29, 2024, 6:05 a.m.