dospflp1: SupF(l+1|l) test

In RoDivinity/BP2003: Structural break estimation and testing procedure

SupF(l+1|l) test

Description

Function computes the procedure of SupF(l+1|l) test. The function returns the test statistics of supF(l+1|l) test with null hypothesis is maximum number of break is l and alternative hypothesis is l+1. The l breaks under the null hypothesis are taken from the global minimization. Also, new date (if available) and critical values based on significant levels are returned for plotting and inference

Usage

dospflp1(
  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
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:

• supfl: SupF(l+1|l) test statistics

• cv: Critical values for SupF(l+1|l) test

• ndat: New date (if available)

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