qlr.test {desk}

Quandt Likelihood Ratio-Test for Structural Breaks in any Parameter with Unknown Break Date

Description

Performs Quandt Likelihood Ratio-test (QLR) for structural breaks with unknown break date. The object returned by this command can be plotted using the plot() function.

Usage

qlr.test(mod, data = list(), from, to, sig.level = 0.05, details = FALSE)

Arguments

mod

the regular model object (without dummies) estimated by ols() or lm().

data

name of the data frame to be used if mod is only a formula.

from

start period of range to be analyzed for a break.

to

end period of range to be analyzed for a break.

sig.level

significance level. Allowed values are 0.01, 0.05 or 0.10.

details

logical value indicating whether specific details about the test should be returned.

Value

A list object including:

hyp	the null-hypothesis to be tested.
results	data frame of test results.
chi2.stats	chi^2-test statistics calculated between from and to.
f.stats	F-test statistics calculated between from and to.
f.crit	lower and upper critical F-value.
p.value	p-value in the test using approximation method proposed by Hansen (1997).
breakpoint	period at which largest F-value occurs.
periods	the range of periods analyzed.
lf.crit	lower and upper critical F-value including corresponding lambda values.
lambda	the lambda correction value for the critical value.

References

Quandt, R.E. (1960): Tests of the Hypothesis That a Linear Regression Obeys Two Separate Regimes. Journal of the American Statistical Association 55, 324–30.

Examples

unemp.est <- ols(unempl ~ gdp, data = data.unempl)
my.qlr <- qlr.test(unemp.est, from = 13, to = 17, details = TRUE)
my.qlr # Print test results

plot(my.qlr) # Plot test results