spflp1: SupF(l+1|l) test

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

SupF(l+1|l) test

Description

'spflp1' computes the test statistics of supF(l+1|l) test with null hypothesis is l='nseg-1' and alternative hypothesis is l+1. The l breaks under the null hypothesis are taken from the global minimization.

Usage

spflp1(bigvec, dt, nseg, y, z, h, q, prewhit, robust, x, p, hetdat, hetvar)

Arguments

bigvec	associated SSR of estimated break date under H0
dt	vector of estimated date under H0
nseg	number of segment under H1
y	matrix of dependent variable
z	matrix of variables with coefficients are allowed to change across regimes
h	minimum segment length
q	number of 'z' regressors
prewhit, robust, hetdat, hetvar	options on residuals/errors. For more details, please refer to [mdl()]
x	matrix of variables with constant coefficients across regimes
p	number of 'x' regressors

Value

A list that contains the following:

maxf

Maximum value of test

newd

Additional date in alternative hypothesis

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