dotest: SupF, UDMax & WDMax testing procedure

In RoDivinity/BP2003: Structural break estimation and testing procedure

SupF, UDMax & WDMax testing procedure

Description

The procedure calculate the test statistics and print results of the 2 main tests:

• SupF test F test of 0 vs m breaks

• Double Max test UDMax: the unweighted version and WDMax: the weighted version

Usage

dotest(
  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

y_name	name of dependent variable in the data set
z_name	name of independent variables in the data set which coefficients are allowed to change across regimes. default is vector of 1 (Mean-shift model)
x_name	name of independent variables in the data set which coefficients are constant across regimes. default is NULL
data	the data set for estimation
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

Value

A list that contains following:

• ftest: SupF test of 0 vs m (1 to maximum) breaks statistics

• cv_supF: Critical values for Sup F test

• cv_Dmax: Critical values for Double Max test

• supF1: table summarizing the SupF test (for viewing purposes)

• UDMax: table summarizing the Double Max test (including UDMax statistics and CVs)

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