spflp1: SupF(l+1|l) test

In RoDivinity/BP2003: Structural break estimation and testing procedure

SupF(l+1|l) test

Description

Function computes the test statistics of supF(l+1|l) test with null hypothesis is l=nseg-1 and alternative hypothesis is l+1. The l breaks under the null hypothesis are taken from the global minimization.

Usage

spflp1(bigvec, dt, nseg, y, z, h, q, prewhit, robust, x, p, hetdat, hetvar)

Arguments

bigvec	associated SSR of estimated break date under H0
dt	estimated date under H0
nseg	number of segment under H1
z	independent variables with coefficients are allowed to change across regimes
q	number of z regressors
prewhit, robust, hetdat, hetvar	options on residuals/errors
x	independent variables with constant coefficients across regimes
p	number of x regressors

Value

A list that contains the following:

• maxfMaximum value of test

• newdAdditional date in alternative hypothesis

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