nldat: Non-linear dating procedure

In RoDivinity/BP2003: Structural break estimation and testing procedure

Non-linear dating procedure

Description

Function computes the break dates of a partial structural change model with pre-specified number of breaks m. The procedure is iterations of recursive computations of SSR and finding the m optimal global minimizers

Usage

nldat(y, z, x, h, m, p, q, bigT, fixb, eps, maxi, betaini, printd)

Arguments

y	time-series observations of dependent variable
z	matrix of regressors which coefficients are allowed to change across regimes
x	matrix of regressors which coefficients are constant across regime
p	number of z regressors
q	number of x regressors
bigT	the sample size T
fixb	option to use initial β If 1, procedure requires betaini. If 0, procedure will not use initial beta values
eps	Convergence criterion
betaini	initial beta values. Required when use with option fixb
printd	option to print output from iterated estimations. If 1, the results for each iteration will be printed in console log. If 0, no output will be printed

Value

A list containing the following components:

glb	minimum global SSR
datevec	Vector of dates (optimal minimizers)
bigvec	Associated SSRs

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