doglob {mbreaks}

Global SSR minimizer for structural change model

Description

doglob() identify if the structural change model is i) pure or ii) partial change model. The procedure then calls appropriate functions dating to estimate the pure change model and nldat to estimate the partial change model.

Usage

doglob(y, z, x, m, eps, h, maxi, fixb, betaini, printd, eps1)

Arguments

y

matrix of dependent variable

z

matrix of independent variables with coefficients allowed to change across regimes

x

matrix of independent variables with coefficients constant across regimes

m

number of breaks in the structural change model

eps

convergence criterion for iterative recursive computation. (For partial change model ONLY)

h

Minimum segment length of regime considered in estimation. If users want to specify a particular value, please set eps1=0

maxi

maximum number of iterations. (For partial change model ONLY)

fixb

option to use fixed initial input \beta. If 1, the model will use values given in betaini. If 0, betaini is skipped

betaini

Initial beta_0 to use in estimation (Must be a ⁠p x 1⁠ matrix, where p is number of x variables)

printd

Print option for model estimation. default = 0, to suppress intermediate outputs printing to console

eps1

trimming level

Value

A list containing the following components:

• glb Minimum global SSR

• datevec Vector of dates (optimal minimizers)

• bigvec Associated SSRs with possible break dates combination