dofix | R Documentation |
'dofix()' compute a structural change model with pre-specified number of breaks.
dofix(
y_name,
z_name = NULL,
x_name = NULL,
data,
fixn = 5,
eps = 1e-05,
eps1 = 0.15,
maxi = 10,
fixb = 0,
betaini = 0,
printd = 0,
prewhit = 1,
robust = 1,
hetdat = 1,
hetvar = 1,
hetq = 1,
hetomega = 1,
const = 1,
h = NULL
)
y_name |
name of dependent variable in the data set |
z_name |
name of independent variables in the data set which coefficients are allowed to change
across regimes. |
x_name |
name of independent variables in the data set which coefficients are constant across
regimes. |
data |
name of data set used |
fixn |
number of breaks specified |
eps |
convergence criterion for iterative recursive computation |
eps1 |
value of trimming (in percentage) for the construction
and critical values. Minimal segment length 'h' will be set
at
|
maxi |
maximum number of iterations |
fixb |
option to use fixed initial input |
betaini |
Initial |
printd |
Print option for model estimation. |
prewhit |
set to |
robust |
set to |
hetdat |
option for the construction of the F tests. Set to 1 if want to
allow different moment matrices of the regressors across segments.
If |
hetvar |
option for the construction of the F tests.Set to |
hetq |
used in the construction of the confidence intervals for the break
dates. If |
hetomega |
used in the construction of the confidence intervals for the break
dates. If |
const |
indicates whether the regression model include an intercept changing across regimes. Default value is 1 |
h |
Minimum segment length of regime considered in estimation. If users want to specify a particular value, please set 'eps1=0' |
out A list of class 'model' contains all information about the estimated structural change model with 'fixn' breaks
dofix('rate',data=real,fixn=3)
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