dosequa | R Documentation |
'dosequa()' sequentially increases the number of breaks from '1' to 'm' until the sequential tests reject and estimate the structural change model with corresponding estimated breaks. The procedure is proposed by Bai and Perron, 1998.
dosequa(
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,
prewhit = 1,
robust = 1,
hetdat = 1,
hetvar = 1,
hetq = 1,
hetomega = 1,
const = 1,
signif = 2
)
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. Default value is vector of 1 (Mean-shift model). |
x_name |
name of independent variables in the data set, which coefficients are constant across
regimes. Default value is |
data |
name of the 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 default value =
|
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 you 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 includes an intercept changing across regimes. Default value is 1 |
signif |
significance level used in the sequential test to select number of breaks.
|
A list of 'model' class with the number of breaks selected by sequential tests.
dosequa('rate', data = real, signif = 1)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.