Function compute the supF test statistics of testing procedure with
null hypothesis: no break versus alternative hypothesis: i breaks.
Function compute the supF test statistics of testing procedure with
null hypothesis: no break versus alternative hypothesis: i breaks.
pftest(y, z, i, q, bigT, datevec, prewhit, robust, x, p, hetdat, hetvar)pftest(y, z, i, q, bigT, datevec, prewhit, robust, x, p, hetdat, hetvar)
ftest SupF test results
ftest SupF test results
dependent variables
independent variables with coefficients are allowed to change across regimes
number of breaks in the model
number of z regressors
sample period T
i estimated dates from the model
Options for prewhitening process
options for assumptions on error terms
independent variables with constant coefficients across regimes
number of x regressors