doglob: Global SSR minimizers procedure

In RoDivinity/BP2003: Structural break estimation and testing procedure

Global SSR minimizers procedure

Description

Function obtains global minimizers using the recursive algorithm to compute and minimize SSR over all possible segments. The procedure is required to conduct supF, UDMax, WDMax and supF(l+1|l) test

Usage

doglob(y, z, x, m, eps, eps1, maxi, fixb, betaini, printd)

Arguments

eps	convergence criterion for iterative recursive computation
eps1	trimming level
maxi	maximum number of iterations
fixb	option to use fixed initial input β. If 1, the model will use values given in betaini. If 0, betaini is skipped
betaini	Initial beta_0 to use in estimation
printd	option to print results of iterations for partial change model
y_name	dependent variables in matrix form
z_name	matrix of independent variables with coefficients are allowed to change across regimes
x_name	matrix of independent variables with coefficients constant across regimes

Value

A list containing the following components:

• glb Minimum global SSR

• datevec Vector of dates (optimal minimizers)

• bigvec Associated SSRs

RoDivinity/BP2003 documentation built on Oct. 9, 2022, 9:33 a.m.