dorepart: Repartition procedure

In RoDivinity/BP2003: Structural break estimation and testing procedure

Repartition procedure

Description

The following procedure constructs the so-called repartition estimates of the breaks obtained by the sequential method (see Bai (1995), Estimating Breaks one at a time, Econometric Theory, 13, 315-352. It alows estimates that have the same asymptotic distribution as those obtained by global minimization. Otherwise, the output from the procedure "estim" below do not deliver asymptotically correct confidence intervals for the break dates.

Usage

dorepart(
  y_name,
  z_name,
  x_name,
  data,
  m = 5,
  eps = 1e-05,
  eps1 = 0.15,
  maxi = 10,
  fixb = 0,
  betaini = 0,
  printd = 0,
  prewhit = 1,
  robust = 1,
  hetdat = 1,
  hetvar = 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
prewhit	option to use AR(1) for prewhitening process
robust, hetdat, hetvar	options on error terms assumptions
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

Value

reparv Repartition method estimation of break dates

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