mdl: Comprehensive structural change estimation and testing

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

Comprehensive structural change estimation and testing

Description

'mdl()' calls main functions of the 'mbreaks' package to execute the following estimation procedures:

'dotest()'

Function dotest conducts Sup F tests of '0' versus 'm' breaks and Double Max tests.

'doseqtests()'

Function doseqtests conducts the sequential Sup F tests of 'l' versus 'l+1' breaks.

'doorder()'

Function doorder conducts the number of breaks selection from '1' to 'm' breaks using the following information critera: KT,BIC, and LWZ.

'dosequa()'

Function dosequa conducts the number of breaks selection by sequential tests from '1' to 'm' breaks using sequential Sup F tests.

'dofix()'

Function dofix conducts structural break model estimation with 'fixn' breaks.

All the procedures automatically identify if the 'model' is either i) pure structural breaks model or ii) partial structural breaks model

Usage

mdl(
  y_name,
  z_name = NULL,
  x_name = NULL,
  data,
  eps1 = 0.15,
  m = 5,
  prewhit = 1,
  robust = 1,
  hetdat = 1,
  hetvar = 1,
  hetomega = 1,
  hetq = 1,
  maxi = 10,
  eps = 1e-05,
  fixn = -1,
  fixb = 0,
  betaini = 0,
  printd = 0,
  const = 1,
  signif = 2,
  h = NULL
)

Arguments

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 is vector of 1 (Mean-shift model).
x_name	name of independent variables in the data set which coefficients are constant across regimes. default is NULL.
data	the data set for estimation.
eps1	value of trimming (in percentage) for the construction and critical values. Minimal segment length 'h' will be set at default = int(eps1*T) (T is total sample size). eps1 = 0.05 Maximal value of m = 10. eps1 = 0.10 Maximal value of m = 8. eps1 = 0.15 Maximal value of m = 5. eps1 = 0.20 Maximal value of m = 3. eps1 = 0.25 Maximal value of m = 2. eps1 = 0 This option allows users to explicitly specify minimum segment length 'h' parameters. However, this option will not be allowed for testing and testing related functions. The default value is set at eps1 = 0.15.
m	Maximum number of structural changes allowed. If not specify, m will be set to default value matching 'eps1' input.
prewhit	set to 1 to apply AR(1) prewhitening prior to estimating the long run covariance matrix.
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)
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)
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
maxi	number of maximum iterations for recursive calculations of finding global minimizers.default = 10 (For partial change model ONLY).
eps	convergence criterion for recursive calculations (For partial change model ONLY)
fixn	number of pre-specified breaks. default = -1. It will be replaced automatically to 2 if no specification is given (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
const	indicates whether the regression model include an intercept changing across regimes. Default value is 1.
signif	significance level used to sequential test to select number of breaks. 4: 1% level 3: 2.5% level 2: 5% level 1: 10% level
h	Minimum segment length of regime considered in estimation. If users want to specify a particular value, please set 'eps1=0'

Value

A list that contains the following:

sbtests

A list of class 'sbtests' representing Sup F tests of 0 versus m breaks and Double Max tests.

seqtests

A list of class 'seqtests' representing sequential Sup F test of l versus l+1 breaks.

BIC

A list of class 'model' with structural break model estimated by number of breaks by BIC criterion.

LWZ

A list of class 'model' with structural break model estimated by number of breaks by LWZ criterion.

KT

A class 'model' with structural break model estimated by number of breaks by KT criterion.

sequa

A class 'model' with structural break model estimated by number of breaks by sequential tests.

fix

A class 'model' with structural break model estimated by pre-specified 'fixn' number of breaks.

Note: All default values of error assumptions (robust, hetdat, hetvar, hetq) are set to 1. The implications on the structure of model\'s errors related to individual settings are explained within the arguments section for each option.

See Also

dotest, doseqtests, doorder, dosequa, and dofix which are functions called by 'mdl()'.

Examples

 US_rate = mdl('rate',data=real)
 nkpc_lbs = mdl('inf',c('inflag','lbs','inffut'),data=nkpc,prewhit = 0)

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