segments.OLS.N.breaks: Find m + 1 optimal partitions

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

Find m + 1 optimal partitions

Description

Find m + 1 optimal partitions

Usage

segments.OLS.N.breaks(y, x, m = 1, width = 2, SSR.data = NULL)

Arguments

y	(Tx1)-vector of the dependent variable.
x	(Txk)-vector of the explanatory stochastic regressors.
m	Number of breaks.
width	Minimum spacing between the breaks.
SSR.data	Optional matrix of recursive SSR's.

Value

A list of:

• optimal SSR,

• the vector of break points.

References

Bai, Jushan, and Pierre Perron. “Computation and Analysis of Multiple Structural Change Models.” Journal of Applied Econometrics 18, no. 1 (2003): 1–22. https://doi.org/10.1002/jae.659.

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