segments.GLS: Procedure to minimize the GLS-SSR for 1 break point

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

Procedure to minimize the GLS-SSR for 1 break point

Description

Procedure to minimize the GLS-SSR for 1 break point

Usage

segments.GLS(
  y,
  const = FALSE,
  trend = FALSE,
  breaks = 1,
  first.break = NULL,
  last.break = NULL,
  trim = 0.15
)

Arguments

y	Variable of interest.
const	Whether there is a break in the constant.
trend	Whether there is a break in the trend.
breaks	Number of breaks.
first.break	First possible break point.
last.break	Last possible break point.
trim	Trim value to calculate first.break and last.break if not provided.

Value

The point of possible break.

References

Skrobotov, Anton. “On Trend Breaks and Initial Condition in Unit Root Testing.” Journal of Time Series Econometrics 10, no. 1 (2018): 1–15. https://doi.org/10.1515/jtse-2016-0014.

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