pftest {mbreaks}

SupF test for 0 vs i breaks

Description

Function compute the supF test statistics of testing procedure with null hypothesis: no break versus alternative hypothesis: i breaks.

Function compute the supF test statistics of testing procedure with null hypothesis: no break versus alternative hypothesis: i breaks.

Usage

pftest(y, z, i, q, bigT, datevec, prewhit, robust, x, p, hetdat, hetvar)

pftest(y, z, i, q, bigT, datevec, prewhit, robust, x, p, hetdat, hetvar)

Arguments

y

dependent variables

z

independent variables with coefficients are allowed to change across regimes

i

number of breaks in the model

q

number of z regressors

bigT

sample period T

datevec

i estimated dates from the model

prewhit

Options for prewhitening process

robust, hetdat, hetvar

options for assumptions on error terms

x

independent variables with constant coefficients across regimes

p

number of x regressors

Value

ftest SupF test results

ftest SupF test results