doorder: Order estimation procedure

In RoDivinity/BP2003: Structural break estimation and testing procedure

Order estimation procedure

Description

The function carry out the procedure to estimate order using BIC and the criterion of Liu, Wu and Zidek

Usage

doorder(
  y_name,
  z_name = NULL,
  x_name = NULL,
  data,
  m = 5,
  eps = 1e-05,
  eps1 = 0.15,
  maxi = 10,
  fixb = 0,
  betaini = 0,
  printd = 0,
  bic_opt = 1
)

Arguments

m	maximum number of breaks
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	dependent variables in matrix form
z	matrix of independent variables with coefficients are allowed to change across regimes
x	matrix of independent variables with coefficients constant across regimes
bic	indicator which criterion is used in selecting number of breaks

Value

A list that contains following:

mBIC	number of breaks selected by BIC
mLWZ	number of breaks selected by LWZ

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