nldat | R Documentation |
'nldat()' computes the break dates of a partial structural change model for a pre-specified number of breaks 'm'. The procedure iterates between estimating the invariant and changing coefficients of 'x' and 'z' regressors until convergence, by noting that the residuals from linear regression model between 'y' and 'x' regressors is a pure structural change model, while the residuals from pure structural change model between 'y' and 'z' regressors is a linear regression
nldat(y, z, x, h, m, p, q, bigT, fixb, eps, maxi, betaini, printd)
y |
dependent variable in matrix form |
z |
matrix of regressors which coefficients are allowed to change across regimes |
x |
matrix of regressors which coefficients are constant across regime |
h |
minimum segment length |
m |
number of breaks |
p |
number of 'z' regressors |
q |
number of 'x' regressors |
bigT |
the sample size T |
fixb |
option to use initial |
eps |
Convergence criterion (For partial change model ONLY) |
maxi |
Maximum number of iterations (For partial change model ONLY) |
betaini |
initial beta values. Required when use with option |
printd |
option to print output from iterated estimations. If |
A list containing the following components:
glb |
minimum global SSR |
datevec |
Vector of dates (optimal minimizers) |
bigvec |
Associated SSRs |
Bai J, Perron P (1998). "Estimating and Testing Linear Models with Multiple Structural Changes" Econometrica, 66, 47-78. Bai J, Perron P (2003). "Computation and Analysis of Multiple Structural Change Models" Journal of Applied Econometrics 18, 1-22
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