model_estimation: Robust structural change estimation

In RoDivinity/BP2003: Structural break estimation and testing procedure

Robust structural change estimation

Description

Function executes main procedures described in Bai and Perron

Usage

model_estimation(
  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,
  procedure = c("doglob", "dotest", "dospflp1", "doorder", "dosequa", "dorepart"),
  CI = 1,
  method = c("BIC", "LWZ", "seq", "rep", "fix"),
  maxi = 10,
  fixb = 0,
  eps = 1e-05,
  betaini = 0,
  fixn = -1,
  printd = 0
)

Arguments

data	the data set for estimation
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 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. This option is not available 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
procedure	Selectable procedures to execute: doglob A recursive procedure to obtain global minimizers of SSR, corresponding to the break date. dotest Procedure to conduct SupF test of 0 versus m breaks and Double Max test. dospflp1 Procedure to conduct SupF(l+1|l). doorder Procedure to find number of break by criteria selection dosequa Procedure to obtain break dates via sequential method dorepart Procedure to obtain break dates via repartition method
CI	Option to estimate dates, model parameters and their confidence intervals. If 1, specify method to estimate in method below.
method	"BIC" Estimate and compute confidence intervals following order selection method to pick number of breaks by BIC. For more details, see doorder,estim "LWZ" Estimate and compute confidence intervals following order selection method to pick number of breaks by LWZ. For more details, see doorder,estim "seq" Estimate and compute confidence intervals following sequential method estimation of the break date. For more details, see dosequa,estim "rep" Estimate and compute confidence intervals following repartition method estimation of the break date. For more details, see dorepart,estim "fix" Estimate and compute confidence intervals following pre-specified number of breaks, i. For more details, see estim
maxi	number of maximum iterations for recursive calculations of finding global minimizers.default = 10
fixb	Option to use initial values of beta. Set to 1 if initial values are entered by users.
eps	convergence criterion for recursive calculations
betaini	values of initial betas. Only used when fixb = 1.
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 outputs
y	name of dependent variable
z	name of independent variables which coefficients are allowed to change across regimes. default is vector of 1 (Mean-shift model)
x	name of independent variables which coefficients are constant across regimes. default is NULL

Details

Function executes the main procedures selected by users. There are 7 main procedures including:

• doglob A recursive procedure to obtain global minimizers of SSR, corresponding to the break date.

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

• dosupflp1 Procedure to conduct SupF(l+1|l).

• doorder Procedure to find number of break by criteria selection

• dosequa Procedure to obtain break dates via sequential method

• dorepart Procedure to obtain break dates via repartition method

To obtain the confidence intervals for the break dates and corrected errors for estimates of the model, set est = 1. If est = 1, specify one of the following methods for estimation procedure:

• "BIC" Estimate and compute confidence intervals following order selection method to pick number of breaks by BIC. For more details, see doorder,estim

• "LWZ" Estimate and compute confidence intervals following order selection method to pick number of breaks by LWZ. For more details, see doorder,estim

• "seq" Estimate and compute confidence intervals following sequential method estimation of the break date. For more details, see dosequa,estim

• "rep" Estimate and compute confidence intervals following repartition method estimation of the break date. For more details, see dorepart,estim

• "fix" Estimate and compute confidence intervals following pre-specified number of breaks, i. For more details, see estim

All default values of error assumptions (robust, hetdat, hetvar, hetq) will be set to 1

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