dotest: SupF, UDMax & WDMax testing procedure

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

SupF, UDMax & WDMax testing procedure

Description

'dotest()' compute the test statistics and report the critical values of the 2 main supF tests below:

• SupF test of 0 vs m breaks

• Double Max test proposed by Perron and Bai, 1998

Usage

dotest(
  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
)

Arguments

y_name	matrix of dependent variable
z_name	matrix of regressors which coefficients are allowed to change across regimes.
x_name	matrix of regressors which coefficients are constant across regimes.
data	the data set for estimation
m	maximum number of breaks
eps	convergence criterion for iterative recursive computation
eps1	trimming level
maxi	maximum number of iterations
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
prewhit	option to use AR(1) for prewhitening
robust	set to 1 to allow for heterogeneity and autocorrelation in the residuals, 0 otherwise. The method used is Andrews(1991) automatic bandwidth with AR(1) approximation with quadratic kernel. Note: Do not set to 1 if lagged dependent variables are included as regressors.
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 hetdat = 0, the same moment matrices are assumed for each segment and estimated from the ful sample. It is recommended to set hetdat=1 if number of regressors x > 0.
hetvar	option for the construction of the F tests.Set to 1 if users want to allow for the variance of the residuals to be different across segments. If hetvar=0, the variance of the residuals is assumed constant across segments and constructed from the full sample. hetvar=1 when robust =1)
hetq	used in the construction of the confidence intervals for the break dates. If hetq=0, the moment matrix of the data is assumed identical across segments
hetomega	used in the construction of the confidence intervals for the break dates. If hetomega=0, the long run covariance matrix of zu is assumed identical across segments (the variance of the errors u if robust=0)
const	indicates whether the regression model include an intercept changing across regimes. Default value is 1

Value

A list that contains following:

ftest

SupF test of 0 vs m (1 to maximum) breaks statistics

cv_supF

Critical values for Sup F test

cv_Dmax

Critical values for Double Max test

supF1

table summarizing the SupF test (for viewing purposes)

UDMax

table summarizing the Double Max test (including UDMax statistics and CVs)

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