pftest: SupF test for 0 vs i breaks

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

SupF test for 0 vs i breaks

Description

Function compute the supF test statistics of testing procedure with null hypothesis: no break versus alternative hypothesis: i breaks.

Usage

pftest(y, z, i, q, bigT, datevec, prewhit, robust, x, p, hetdat, hetvar)

Arguments

y	dependent variables
z	independent variables with coefficients are allowed to change across regimes
i	number of breaks in the model
q	number of z regressors
bigT	sample period T
datevec	i estimated dates from the model
prewhit	Options for prewhitening process
robust, hetdat, hetvar	options for assumptions on error terms
x	independent variables with constant coefficients across regimes
p	number of x regressors

Value

ftest SupF test results

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