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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