dating: Computation of global minimizer for pure structural change...

In mbreaks: Estimation and Inference for Structural Breaks in Linear Regression Models

Computation of global minimizer for pure structural change model

Description

'dating()' computes break points that globally minimizes SSR via dynamic programming approach. To avoid recursion depth increases as number of breaks in the model increases, a temporary array is used to store optimal partition with corresponding SSR for all permissible subsamples for all 1:m-1 breaks. For the m-th break, the problem becomes finding where to insert the last feasible m+1-th segment into the sample partitioned by m-1 breaks to obtain minimum SSR over the sample

Usage

dating(y, z, h, m, q, bigT)

Arguments

y	matrix of dependent variable
z	matrix of regressors with coefficients allowed to change across regimes
h	minimum length of segment
m	maximum number of breaks
q	number of 'z' regressors
bigT	sample period T

Value

A list containing the following components:

glb	minimum global SSR
datevec	Vector of dates (optimal minimizers)
bigvec	Associated SSRs

mbreaks documentation built on April 3, 2025, 7:38 p.m.