dating

<code>dating()</code> computes break points that globally minimizes SSR via dynamic programming approach.
To avoid recursion depth increases as number of breaks in the model increases, a temporary
array is used to store optimal partition with corresponding SSR for all permissible
subsamples for all 1:m-1 breaks. For the m-th break, the problem becomes finding where to insert
the last feasible m+1-th segment into the sample partitioned by m-1 breaks
to obtain minimum SSR over the sample

Functions provide comprehensive treatments for estimating, inferring, testing and model selecting in linear regression models with structural breaks. The tests, estimation methods, inference and information criteria implemented are discussed in Bai and Perron (1998) "Estimating and Testing Linear Models with Multiple Structural Changes" <doi:10.2307/2998540>.

Linh Nguyen

mbreaks

Estimation and Inference for Structural Breaks in Linear
Regression Models

Yohei Yamamoto

Pierre Perron

dating function

<dl><dt>y</dt>
<dd>matrix of dependent variable</dd>
<dt>z</dt>
<dd>matrix of regressors with coefficients
allowed to change across regimes</dd>
<dt>h</dt>
<dd>minimum length of segment</dd>
<dt>m</dt>
<dd>maximum number of breaks</dd>
<dt>q</dt>
<dd>number of <code>z</code> regressors</dd>
<dt>bigT</dt>
<dd>sample period T</dd></dl>

Arguments

Computation of global minimizer for pure structural change model — dating

<dl>

<dt>y</dt>
<dd>matrix of dependent variable</dd>


<dt>z</dt>
<dd>matrix of regressors with coefficients
allowed to change across regimes</dd>


<dt>h</dt>
<dd>minimum length of segment</dd>


<dt>m</dt>
<dd>maximum number of breaks</dd>


<dt>q</dt>
<dd>number of <code>z</code> regressors</dd>


<dt>bigT</dt>
<dd>sample period T</dd>

</dl>

dating: Computation of global minimizer for pure structural change model

Description

Usage

Value

Arguments