mbreaks (version 1.0.0)

spflp1: SupF(l+1|l) test

Description

Function computes the test statistics of supF(l+1|l) test with null hypothesis is l=nseg-1 and alternative hypothesis is l+1. The l breaks under the null hypothesis are taken from the global minimization.

spflp1 computes the test statistics of supF(l+1|l) test with null hypothesis is l=nseg-1 and alternative hypothesis is l+1. The l breaks under the null hypothesis are taken from the global minimization.

Usage

spflp1(bigvec, dt, nseg, y, z, h, q, prewhit, robust, x, p, hetdat, hetvar)
spflp1(bigvec, dt, nseg, y, z, h, q, prewhit, robust, x, p, hetdat, hetvar)

Value

A list that contains the following:

• maxfMaximum value of test

• newdAdditional date in alternative hypothesis

A list that contains the following:

• maxfMaximum value of test

• newdAdditional date in alternative hypothesis

Arguments

bigvec

associated SSR of estimated break date under H0

dt

vector of estimated date under H0

nseg

number of segment under H1

y

matrix of dependent variable

z

matrix of variables with coefficients are allowed to change across regimes

h

minimum segment length

q

number of z regressors

prewhit, robust, hetdat, hetvar

options on residuals/errors. For more details, please refer to mdl()

x

matrix of variables with constant coefficients across regimes

p

number of x regressors