lm_2break

Purpose

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

Format

{ lm_tstat, tb1, tb2, lags, cv } = LM_2break(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 (Scalar) –

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

    1

    Akaike.

    2

    Schwarz.

    3

    t-stat significance.

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

Returns
  • lm_tstat (Scalar) – Minimum test statistic with two breaks.

  • tb1 (Scalar) – Location of first break.

  • tb1 – Location of second break.

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

  • 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, tb2, p, cv } = LM_2break(y, model);

// Break in level and trend
model = 2;
{ LM_min, tb1, tb2, p, cv } = LM_2break(y, model);

Source

lm_1br.src

See also

Functions lmkpss(), lm_1break()