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

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

Procedure to minimize the SSR for 1 break point

Description

Procedure to minimize the SSR for 1 break point

Usage

segments.OLS.1.break(beg, end, first.break, last.break, len, SSR.data)

Arguments

beg	Start of the sample.
end	End of the sample.
first.break	First possible break point.
last.break	Last possible break point.
len	Total number of observations.
SSR.data	The matrix of recursive SSR values.

Value

A list of:

• SSR: Optimal SSR value,

• break.point: The point of possible break.

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.