nldat() computes the break dates of a partial structural change model
for a pre-specified number of breaks m. The procedure iterates between
estimating the invariant and changing coefficients of x and z regressors
until convergence, by noting that the residuals from linear regression model between
y and x regressors is a pure structural change model,
while the residuals from pure structural change model between y and z regressors
is a linear regression
nldat(y, z, x, h, m, p, q, bigT, fixb, eps, maxi, betaini, printd)A list containing the following components:
minimum global SSR
Vector of dates (optimal minimizers)
Associated SSRs
dependent variable in matrix form
matrix of regressors which coefficients are allowed to change across regimes
matrix of regressors which coefficients are constant across regime
minimum segment length
number of breaks
number of z regressors
number of x regressors
the sample size T
option to use initial \(\beta\) If 1, procedure requires betaini.
If 0, procedure will not use initial beta values
Convergence criterion (For partial change model ONLY)
Maximum number of iterations (For partial change model ONLY)
initial beta values. Required when use with option fixb
option to print output from iterated estimations. If 1, the results
for each iteration will be printed in console log. If 0, no output will be printed
Bai J, Perron P (1998). "Estimating and Testing Linear Models with Multiple Structural Changes" Econometrica, 66, 47-78. Bai J, Perron P (2003). "Computation and Analysis of Multiple Structural Change Models" Journal of Applied Econometrics 18, 1-22