doorder | R Documentation |
'doorder()' estimates the number of breaks using one of the following information criteria:
modified Bayesian information criterion by Kurozumi and Tuvaandorj, 2011,
modified Schwarz information criterion by Liu, Wu and Zidek, 1997,
Bayesian information criterion by Yao, 1988
and the structural break model corresponding to estimated number of breaks.
doorder(
y_name,
z_name = NULL,
x_name = NULL,
data,
m = 5,
eps = 1e-05,
eps1 = 0.15,
maxi = 10,
fixb = 0,
betaini = 0,
printd = 0,
ic = "KT",
const = 1,
h = NULL,
prewhit = 1,
hetdat = 1,
hetq = 1,
hetomega = 1,
hetvar = 1,
robust = 1
)
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 |
m |
maximum number of breaks |
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. |
ic |
indicator which information criterion is used in selecting number of breaks:
The default value is |
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' |
prewhit |
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 |
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 |
hetvar |
option for the construction of the F tests.Set to |
robust |
set to |
A list of class 'model' that contains one of the following:
change model with number of breaks selected by BIC
change model with number of breaks selected by LWZ
change model with number of breaks selected by KT
Liu J, Wu S, Zidek JV (1997). "On Segmented Multivariate Regressions", Statistica Sinica, 7, 497-525. Yao YC (1988). "Estimating the Number of Change-points via Schwartz Criterion", Statistics and Probability Letters, 6, 181-189. Kurozumi E, Tuvaandorj P (2011). "Model Selection Criteria in Multivariate Models with Multiple Structural Changes", Journal of Econometrics 164, 218-238.
doorder('rate',data=real,ic=c('BIC'))
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