doglob: Global SSR minimizer for structural change model

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

Global SSR minimizer for structural change model

Description

'doglob()' identify if the structural change model is i) pure or ii) partial change model. The procedure then calls appropriate functions dating to estimate the pure change model and nldat to estimate the partial change model.

Usage

doglob(y, z, x, m, eps, h, maxi, fixb, betaini, printd, eps1)

Arguments

y	matrix of dependent variable
z	matrix of independent variables with coefficients allowed to change across regimes
x	matrix of independent variables with coefficients constant across regimes
m	number of breaks in the structural change model
eps	convergence criterion for iterative recursive computation. (For partial change model ONLY)
h	Minimum segment length of regime considered in estimation. If users want to specify a particular value, please set 'eps1=0'
maxi	maximum number of iterations. (For partial change model ONLY)
fixb	option to use fixed initial input \beta. If 1, the model will use values given in betaini. If 0, betaini is skipped
betaini	Initial beta_0 to use in estimation (Must be a 'p x 1' matrix, where p is number of x variables)
printd	Print option for model estimation. default = 0, to suppress intermediate outputs printing to console
eps1	trimming level

Value

A list containing the following components:

glb

Minimum global SSR.

datevec

Vector of dates (optimal minimizers).

bigvec

Associated SSRs with possible break dates combination.

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