DOLS.1.break: Estimating DOLS regression for multiple known break points

In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

Estimating DOLS regression for multiple known break points

Description

Estimating DOLS regression for multiple known break points

Usage

DOLS.1.break(y, x, model, break.point, k.lags, k.leads)

Arguments

y	A time series of interest.
x	A matrix of explanatory stochastic regressors.
model	See Carrion-i-Silvestre and Sansó (2006) 1: for model An, 2: for model A, 3: for model B, 4: for model C, 5: for model D, 6: for model E.
break.point	A position of the break point.
k.lags, k.leads	A number of lags and leads in DOLS regression.

Value

A list of:

• Estimates of coefficients,

• Estimates of residuals,

• A value of BIC,

• t-statistics for the estimates of coefficients.

References

Carrion-i-Silvestre, Josep Lluís, and Andreu Sansó. “Testing the Null of Cointegration with Structural Breaks.” Oxford Bulletin of Economics and Statistics 68, no. 5 (October 2006): 623–46. https://doi.org/10.1111/j.1468-0084.2006.00180.x.

d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.