lm_1break

Purpose

Computes the minimum LM unit root test with one structural break.

Format

{ lm_tstat, tb, lags, lambda, cv } = LM_1break(y, model[, pmax, ic, trimm])
Parameters
  • y (Nx1 matrix) – Time series data to be tested.

  • model (Scalar) –

    Model to be implemented.

    1

    Break in level.

    2

    Break in level and trend.

  • pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.

  • ic – Optional, the information criterion used for choosing lags. Default = 3.

1

Akaike.

2

Schwarz.

3

t-stat significance.

Parameters

trimm (Scalar) – Optional, trimming rate. Default = 0.10.

Returns
  • lm_tstat (Scalar) – Minimum test statistic.

  • tb (Scalar) – Location of break.

  • lags (Scalar) – Number of lags selected by chosen information criterion.

  • lambda (Scalar) – Break fraction (tb/T).

  • cv (Vector) – 1%, 5%, and 10% critical values for lm_1break() \(\tau\)-stat..

Examples

new;
cls;
library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv", "Y + date($Date, '%b-%y')");

// Break in level
model = 1;
{ LM_min, tb1, p, lambda, cv } = LM_1break(y, model);

// Break in level and trend
model = 2;
{ LM_min, tb1, p, lambda, cv } = LM_1break(y, model);

Source

lm_1br.src

See also

Functions lmkpss(), lm_2break()