qlr.test | R Documentation |
Performs Quandt Likelihood Ratio-test (QLR) for structural breaks with unknown break date. The object returned by this command can be plotted using the plot()
function.
qlr.test(mod, data = list(), from, to, sig.level = 0.05, details = FALSE)
mod |
the regular model object (without dummies) estimated by |
data |
name of the data frame to be used if |
from |
start period of range to be analyzed for a break. |
to |
end period of range to be analyzed for a break. |
sig.level |
significance level. Allowed values are 0.01, 0.05 or 0.10. |
details |
logical value indicating whether specific details about the test should be returned. |
A list object including:
hyp | the null-hypothesis to be tested. |
results | data frame of test results. |
chi2.stats | chi^2-test statistics calculated between from and to. |
f.stats | F-test statistics calculated between from and to. |
f.crit | lower and upper critical F-value. |
p.value | p-value in the test using approximation method proposed by Hansen (1997). |
breakpoint | period at which largest F-value occurs. |
periods | the range of periods analyzed. |
lf.crit | lower and upper critical F-value including corresponding lambda values. |
lambda | the lambda correction value for the critical value. |
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.
unemp.est <- ols(unempl ~ gdp, data = data.unempl)
my.qlr <- qlr.test(unemp.est, from = 13, to = 17, details = TRUE)
my.qlr # Print test results
plot(my.qlr) # Plot test results
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