nldat {mbreaks}

Computation of global minimizer for partial structural change model

Description

nldat() computes the break dates of a partial structural change model for a pre-specified number of breaks m. The procedure iterates between estimating the invariant and changing coefficients of x and z regressors until convergence, by noting that the residuals from linear regression model between y and x regressors is a pure structural change model, while the residuals from pure structural change model between y and z regressors is a linear regression

Usage

nldat(y, z, x, h, m, p, q, bigT, fixb, eps, maxi, betaini, printd)

Arguments

y

dependent variable in matrix form

z

matrix of regressors which coefficients are allowed to change across regimes

x

matrix of regressors which coefficients are constant across regime

h

minimum segment length

m

number of breaks

p

number of z regressors

q

number of x regressors

bigT

the sample size T

fixb

option to use initial \beta If 1, procedure requires betaini. If 0, procedure will not use initial beta values

eps

Convergence criterion (For partial change model ONLY)

maxi

Maximum number of iterations (For partial change model ONLY)

betaini

initial beta values. Required when use with option fixb

printd

option to print output from iterated estimations. If 1, the results for each iteration will be printed in console log. If 0, no output will be printed

Value

A list containing the following components:

glb

minimum global SSR

datevec

Vector of dates (optimal minimizers)

bigvec

Associated SSRs

References

Bai J, Perron P (1998). "Estimating and Testing Linear Models with Multiple Structural Changes" Econometrica, 66, 47-78. Bai J, Perron P (2003). "Computation and Analysis of Multiple Structural Change Models" Journal of Applied Econometrics 18, 1-22