dating {mbreaks}

Computation of global minimizer for pure structural change model

Description

dating() computes break points that globally minimizes SSR via dynamic programming approach. To avoid recursion depth increases as number of breaks in the model increases, a temporary array is used to store optimal partition with corresponding SSR for all permissible subsamples for all 1:m-1 breaks. For the m-th break, the problem becomes finding where to insert the last feasible m+1-th segment into the sample partitioned by m-1 breaks to obtain minimum SSR over the sample

Usage

dating(y, z, h, m, q, bigT)

Arguments

y

matrix of dependent variable

z

matrix of regressors with coefficients allowed to change across regimes

h

minimum length of segment

m

maximum number of breaks

q

number of z regressors

bigT

sample period T

Value

A list containing the following components:

glb

minimum global SSR

datevec

Vector of dates (optimal minimizers)

bigvec

Associated SSRs