dotest() compute the test statistics and report the critical values of
the 2 main supF tests below:
SupF test of 0 vs m breaks
Double Max test proposed by Perron and Bai, 1998
dotest(
y_name,
z_name = NULL,
x_name = NULL,
data,
m = 5,
eps = 1e-05,
eps1 = 0.15,
maxi = 10,
fixb = 0,
betaini = 0,
printd = 0,
prewhit = 1,
robust = 1,
hetdat = 1,
hetvar = 1,
hetq = 1,
hetomega = 1,
const = 1
)A list that contains following:
ftest: SupF test of 0 vs m (1 to maximum) breaks statistics
cv_supF: Critical values for Sup F test
cv_Dmax: Critical values for Double Max test
supF1: table summarizing the SupF test (for viewing purposes)
UDMax: table summarizing the Double Max test (including UDMax statistics and CVs)
matrix of dependent variable
matrix of regressors which coefficients are allowed to change across regimes.
matrix of regressors which coefficients are constant across regimes.
the data set for estimation
maximum number of breaks
convergence criterion for iterative recursive computation
trimming level
maximum number of iterations
option to use fixed initial input \(\beta\). If 1,
the model will use values given in betaini. If 0, betaini is skipped
Initial \(beta_0\) to use in estimation (Must be a p x 1 matrix, where p is number of x variables)
Print option for model estimation. default = 0, to
suppress intermediate outputs printing to console
option to use AR(1) for prewhitening
set to 1 to allow for heterogeneity
and autocorrelation in the residuals, 0 otherwise.
The method used is Andrews(1991) automatic bandwidth with AR(1) approximation with quadratic
kernel. Note: Do not set to 1 if lagged dependent variables are
included as regressors.
option for the construction of the F tests. Set to 1 if want to
allow different moment matrices of the regressors across segments.
If hetdat = 0, the same moment matrices are assumed for each segment
and estimated from the ful sample. It is recommended to set
hetdat=1 if number of regressors x > 0.
option for the construction of the F tests.Set to 1
if users want to allow for the variance of the residuals to be different across segments.
If hetvar=0, the variance of the residuals is assumed constant
across segments and constructed from the full sample. hetvar=1 when robust =1)
used in the construction of the confidence intervals for the break
dates. If hetq=0, the moment matrix of the data is assumed identical
across segments
used in the construction of the confidence intervals for the break
dates. If hetomega=0, the long run covariance matrix of zu is
assumed identical across segments
(the variance of the errors u if robust=0)
indicates whether the regression model include an intercept changing across regimes. Default value is 1