dosequa: Sequential procedure

In RoDivinity/BP2003: Structural break estimation and testing procedure

Sequential procedure

Description

function to apply sequential procedure to obtain number of breaks and break dates. Current version only allows pure structural changes. This will be generalized

Usage

dosequa(
  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,
  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

A list that contains following:

• nbreakNumber of breaks

• dateseqSequence of break dates

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