gls_2breaks¶
Purpose¶
Computes the GLS unit root test with two structural break.
Format¶
-
{ ADFGLS_min, p, PT_min, MZa_min, MZt_min, MSB_min, MPT_min, s2, tb1_min, tb2_min, lambda1, lambda2, cvPT, cvMPT, cvMZt, cvDFGLS, cvMSB, cvMZa } =
gls_2breaks(y, model[, pmax, ic])¶ Parameters: - y (Nx1 matrix) – Time series data to be tested.
- model (Scalar) –
Model to be implemented.
0 Level shift. 1 Trend shift. 2 Level and trend shift. - pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.
- ic (Scalar) –
Optional, the information criterion used for choosing lags. Default = 3.
1 Akaike. 2 Schwarz. 3 t-stat significance.
Returns: - GLStau (Scalar) – ADF-GLS statistic.
- p (Scalar) – Number of lags for ADF-GLS statistic.
- PT (Scalar) – PT statistic.
- Mza (Scalar) – MZalpha statistic.
- Mzt (Scalar) – MZt statistic.
- MSB (Scalar) – MSB statistic.
- MPT (Scalar) – MPT statistic.
- s2 – Long-run variance based on autoregressive spectral estimate.
- tb1 (Scalar) – Location of the first break.
- tb2 (Scalar) – Location of the second break.
- lambda1 (Scalar) – Fraction of the first break (tb/T)
- lambda2 (Scalar) – Fraction of the second break (tb/T)
- cvPT (Vector) – 1%, 5%, and 10% critical values for the PT statistic.
- cvMza (Vector) – 1%, 5%, and 10% critical values for the MZalpha statistic.
- cvMzt (Vector) – 1%, 5%, and 10% critical values for the MZt statistic.
- cvMSB (Vector) – 1%, 5%, and 10% critical values for the MSB statistic.
- cvMPT (Vector) – 1%, 5%, and 10% critical values for the MPT statistic.
Examples¶
library tspdlib;
// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv",
"Y + date($Date, '%b-%y')");
// Break in level
model = 1;
call gls_2breaks(y, model);
// Break in level and trend
model = 2;
call gls_2breaks(y, model);