qlr.test: Quandt Likelihood Ratio Test for structural breaks in any...

Description Usage Arguments Value Examples

View source: R/qlr.test.R

Description

Performs Quandt Likelihood Ratio Test for structural breaks with unknown breakdate.

Usage

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qlr.test(mod, data = list(), from, to, sig.level = 0.05, details = FALSE)

Arguments

mod

The regular model object (without dummies) estimated by ols() or lm()

data

Name of the dataframe to be used if mod is only a formula.

from

Start period of range to be analyzed for a break.

to

End period of range to be analyzed for a break.

sig.level

Significance level. Allowed values are 0.01, 0.05 and 0.10.

details

Logical value indicating whether specific details about the test should be returned.

Value

A list including:

hyp The null-hypothesis to be tested.
results Dataframe of test results.
chi2.stats Chi^2 test statistics calculated between from and to.
f.stats F test statistics calculated between from and to.
f.crit Lower and upper critical F-value.
p.value p-value in the test (using approximation method proposed by Hansen (1997)).
breakpoint Period at which largest F value occurs
periods The range of periods analyzed.
lf.crit Lower and upper critical F-value including corresponding lambda values.
lambda The lambda correction value for the critical value.

Examples

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  unemp.est <- ols(unempl ~ gdp, data = data.unempl)
  my.qlr <- qlr.test(unemp.est, from = 13, to = 17, details = TRUE)
  my.qlr # Print test results
  plot(my.qlr) # Plot test results
  

andronikoss/desk documentation built on June 3, 2017, 7:05 p.m.