mdl: Robust structural change estimation

In RoDivinity/BP2003: Structural break estimation and testing procedure

Robust structural change estimation

Description

Function executes all the main procedures to estimate either i) pure structural breaks model or ii) partial structural breaks model

Usage

mdl(
  y_name,
  z_name = NULL,
  x_name = NULL,
  data,
  eps1 = 0.15,
  m = -1,
  prewhit = 1,
  robust = 1,
  hetdat = 1,
  hetvar = 1,
  hetomega = 1,
  hetq = 1,
  maxi = 10,
  eps = 1e-05,
  fixn = -1,
  printd = 0
)

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
eps1	value of trimming (in percentage) for the construction and critical values. Minimal segment length will be set at default = int(eps1*T) (T is total sample size). eps1=.05: Maximal value of m = 10 eps1=.10: Maximal value of m = 8 eps1=.15: Maximal value of m = 5 eps1=.20: Maximal value of m = 3 eps1=.25: Maximal value of m = 2 The default value is set at 0.15
m	Maximum number of structural changes allowed. If not specify, m will be set to default value from eps1
prewhit	set to 1 if want to apply AR(1) prewhitening prior to estimating the long run covariance matrix.
robust	set to 1 if want to allow for heterogeneity and autocorrelation in the residuals, 0 otherwise. The method used is Andrews(1991) automatic bandwidth with AR(1) approximation and the quadratic kernel. Note: Do not set to 1 if lagged dependent variables are included as regressors.
hetdat	option for the construction of the F tests. Set to 1 if want to allow different moment matrices of the regressors across segments. If hetdat = 0, the same moment matrices are assumed for each segment and estimated from the ful sample. It is recommended to set hetdat=1 if number of regressors x > 0.
hetvar	option for the construction of the F tests.Set to 1 if users want to allow for the variance of the residuals to be different across segments. If hetvar=0, the variance of the residuals is assumed constant across segments and constructed from the full sample. hetvar=1 when robust =1)
hetomega	used in the construction of the confidence intervals for the break dates. If hetomega=0, the long run covariance matrix of zu is assumed identical across segments (the variance of the errors u if robust=0)
hetq	used in the construction of the confidence intervals for the break dates. If hetq=0, the moment matrix of the data is assumed identical across segments
maxi	number of maximum iterations for recursive calculations of finding global minimizers.default = 10
eps	convergence criterion for recursive calculations
fixn	number of pre-specified breaks. default = -1. It will be replaced automatically to 2 if no specification is given
printd	Print option for model estimation. default = 0, to suppress intermediate outputs printing to console

Details

The 7 main procedures include:

• dotest: Procedure to conduct SupF test of 0 versus m breaks and Double Max test.

• dospflp1: Procedure to conduct sequential SupF(l+1|l) (l versus l+1 breaks)

• doorder: Procedure to find number of break by criteria selection (including BIC and LWZ criterion)

• dosequa: Procedure to find number of break and break dates via sequential method

• dorepart: Procedure to find number of break and break dates via repartition method

• fix: Procedure to find number of break by pre-specified number of breaks, which are set at default to be 2

All default values of error assumptions (robust, hetdat, hetvar, hetq) will be set to 1. The implications on the structure of model's errors related to individual settings are explained within the arguments section for each option. Users can separately invoke only one at a time one of the main7 procedures mentioned above

Value

A list that contains the following:

• Wtest: Sup F tests of 0 versus m breaks and Double Max tests

• spflp1: Sequential Sup F test of l versus l+1 breaks

• BIC: Estimated number of breaks by BIC and the corresponding model

• LWZ: Estimated number of breaks by LWZ and the corresponding model

• sequa: Estimated number of breaks by sequential procedure the corresponding model

• repart: Estimated number of breaks by repartition procedure the corresponding model

• fix: Estimated model with pre-specified number of breaks

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