segments.OLS.2.breaks: Procedure to minimize the SSR for 2 break points

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

Procedure to minimize the SSR for 2 break points

Description

Procedure to minimize the SSR for 2 break points

Usage

segments.OLS.2.breaks(y, model)

Arguments

y	A time series of interest.
model	A scalar equal to 1: for the AA (without trend) model, 2: for the AA (with trend) model, 3: for the BB model, 4: for the CC model, 5: for the AC-CA model.

Value

A list of

• resid: (Tx1) vector of estimated OLS residuals,

• tb1: The first break point,

• tb2: The second break point.

References

Carrion-i-Silvestre, Josep Lluís, and Andreu Sansó. “The KPSS Test with Two Structural Breaks.” Spanish Economic Review 9, no. 2 (May 16, 2007): 105–27. https://doi.org/10.1007/s10108-006-9017-8.

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