ec.searchbreaks {cif}

search for breaks dates for given q (=1,2,3,4)

Description

Search for location of break points in 1st-stage of Engle-Granger

Usage

ec.searchbreaks(qse, ymat, npl, befpn, ndet, gfillmin = 10, fixed = NA)

Arguments

qse

q: number of (additional) breaks, s: start date for search, e: end date for search

ymat

matrix of lags

npl

n, p, nlag

befpn

begtrim, endtrim, nforecast, npred

ndet

order of the model d(i,j)

gfillmin

gfill value

fixed

vector of breaks to be taken as fixed (not between s=start and e=end)

Value

out list with break dates and values of regression average sum of squares

Author(s)

P. Paruolo

References

Berta et al. 2020