ec.searchbreaks {cif} | R Documentation |
Search for location of break points in 1st-stage of Engle-Granger
ec.searchbreaks(qse, ymat, npl, befpn, ndet, gfillmin = 10, fixed = NA)
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) |
out list with break dates and values of regression average sum of squares
P. Paruolo
Berta et al. 2020