dotest {mbreaks}

SupF, UDMax & WDMax testing procedure

Description

dotest() compute the test statistics and report the critical values of the 2 main supF tests below:

• SupF test of 0 vs m breaks

• Double Max test proposed by Perron and Bai, 1998

Usage

dotest(
  y_name,
  z_name = NULL,
  x_name = NULL,
  data,
  m = 5,
  eps = 1e-05,
  eps1 = 0.15,
  maxi = 10,
  fixb = 0,
  betaini = 0,
  printd = 0,
  prewhit = 1,
  robust = 1,
  hetdat = 1,
  hetvar = 1,
  hetq = 1,
  hetomega = 1,
  const = 1
)

Arguments

y_name

matrix of dependent variable

z_name

matrix of regressors which coefficients are allowed to change across regimes.

x_name

matrix of regressors which coefficients are constant across regimes.

data

the data set for estimation

m

maximum number of breaks

eps

convergence criterion for iterative recursive computation

eps1

trimming level

maxi

maximum number of iterations

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

prewhit

option to use AR(1) for prewhitening

robust

set to 1 to allow for heterogeneity and autocorrelation in the residuals, 0 otherwise. The method used is Andrews(1991) automatic bandwidth with AR(1) approximation with quadratic kernel. Note: Do not set to 1 if lagged dependent variables are included as regressors.

hetdat

option for the construction of the F tests. Set to 1 if want to allow different moment matrices of the regressors across segments. If hetdat = 0, the same moment matrices are assumed for each segment and estimated from the ful sample. It is recommended to set hetdat=1 if number of regressors x > 0.

hetvar

option for the construction of the F tests.Set to 1 if users want to allow for the variance of the residuals to be different across segments. If hetvar=0, the variance of the residuals is assumed constant across segments and constructed from the full sample. hetvar=1 when robust =1)

hetq

used in the construction of the confidence intervals for the break dates. If hetq=0, the moment matrix of the data is assumed identical across segments

hetomega

used in the construction of the confidence intervals for the break dates. If hetomega=0, the long run covariance matrix of zu is assumed identical across segments (the variance of the errors u if robust=0)

const

indicates whether the regression model include an intercept changing across regimes. Default value is 1

Value

A list that contains following:

• ftest: SupF test of 0 vs m (1 to maximum) breaks statistics

• cv_supF: Critical values for Sup F test

• cv_Dmax: Critical values for Double Max test

• supF1: table summarizing the SupF test (for viewing purposes)

• UDMax: table summarizing the Double Max test (including UDMax statistics and CVs)