spflp1 {mbreaks} | R Documentation |
SupF(l+1|l) test
Description
Function computes the test statistics of supF(l+1|l) test with null hypothesis
is l=nseg
-1 and alternative hypothesis is l+1.
The l breaks under the null hypothesis are taken from the global minimization.
spflp1
computes the test statistics of supF(l+1|l) test with null hypothesis
is l=nseg-1
and alternative hypothesis is l+1.
The l breaks under the null hypothesis are taken from the global minimization.
Usage
spflp1(bigvec, dt, nseg, y, z, h, q, prewhit, robust, x, p, hetdat, hetvar)
spflp1(bigvec, dt, nseg, y, z, h, q, prewhit, robust, x, p, hetdat, hetvar)
Arguments
bigvec |
associated SSR of estimated break date under H0 |
dt |
vector of estimated date under H0 |
nseg |
number of segment under H1 |
y |
matrix of dependent variable |
z |
matrix of variables with coefficients are allowed to change across regimes |
h |
minimum segment length |
q |
number of |
prewhit , robust , hetdat , hetvar |
options on residuals/errors. For more details,
please refer to |
x |
matrix of variables with constant coefficients across regimes |
p |
number of |
Value
A list that contains the following:
-
maxfMaximum value of test
newdAdditional date in alternative hypothesis
A list that contains the following:
-
maxfMaximum value of test
newdAdditional date in alternative hypothesis