sbreak¶

Purpose¶

Estimates the m-break structural break model.

Format¶

out = sbreak(yt, xt, zt, sbc0)¶

Parameters:

yt (Matrix) – dependent data.
xt (Matrix) – time invariant independent variables.
zt (Matrix) – time variant independent variables.

sbc0 (struct) –

Instance of sbControl structure containing the following elements:

q	Scalar, number of regressors subject to change.
p	Scalar, number of time invariant regressors in x.
m	Scalar, maximum number of structural changes.
trim	Scalar, trimming value (as a decimal).
h	Scalar, minimal length of segment (h > p + q)
initialBeta	Matrix, if initialBeta == {} call function to set initial values
maxIters	maximum number of iterations
printOutput	Indicator to print iteration outputs
eps	Scalar, convergence criterion

Returns:

out (struct) –

Instance of the sbOut structure containing the following elements:

breakDate	Matrix, MxM of date breaks estimated for possible number of breaks less than or equal to m.
breakSSR	MxM, vector of ssr associated with all number of breaks less than or equal to m.

Examples¶

new;
cls;
library tsmt;

// DATA INPUT
// Load y data
y = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/real_intrate.dat", "." );

// Specify regressors
// Time varying coe ficients in z
z = ones( rows(y), 1 );

// No time invariant regressors
x = 0;

// Declare sbControl structure
struct sbControl sbc0;

// Initialize instance of structure
sbc0 = sbControlCreate( );

// Set individual model parameters
sbc0.q = 1;
sbc0.m = 5;
sbc0.trim = 0.15;
sbc0.h = 0;
sbc0.printOutput = 1;
sbc0.initialBeta = 0.5;
sbc0.maxIters = 40;

// Turn on graphing capability
sbc0.graphOn = 1;
sbc0.dtstart = dtdate( 1961, 01, 01, 0, 00, 00 );
sbc0.frequency = 4;

struct sbOut sbcOut;
sbcOut = sbreak( y, z, x, sbc0 );

References¶

Bai, J and Perron, P. (2003) Computation and analysis of multiple structural change models, Journal of Applied Econometrics,18(1),1-22.

Library¶

tsmt

Source¶

sb.src

rolling

selectLags