Computes the unit root stratistics with structural breaks in a GLS-detrended framework.
sbur_gls(y, model[, sburCtl])¶
y (Tx1 vector) – Time series with the variable to be analysed.
model (Scalar) – Model to be implemented.
nbreak (Scalar) – Optional, number of breaks to consider (up to 5). Default = 5.
Optional, an instance of the sburControl structure, containing the following members:
scalar, specifies if breaks are known or unknown. 0 for known breaks, 1 for unknown breaks. Default = 1.
vector, holds an known breaks dates. Default = none specified.
scalar, when the structural breaks are unknown, this scalar indicates the number of structural breaks that is assumed. Note that, at the moment, the procedure is designed for up to m <= 5 structural breaks.
scalar, indicates the penalty function that defines the information criteria that is used to determine the number of lags used to estimate the long-run variance. penalty = 0 for maic, and penalty = 1 for bic. Default = 0.
scalar, denotes the maximum number of lags that is used to estimate the long-run variance. Default = 4.
scalar, denotes the minimum number of lags that is used to estimate the long-run variance. Default = 0.
scalar, specifying the estimation method. 0 indicates brute force estimation, 1, uses the dynamic algorithm. Default = 0;
scalar, Set to 1 if want to apply AR(1) prewhitening prior to estimating the long run covariance matrix. Default = 0.
scalar, if dynamic algorithm is used, this indicates the maximum number of iterations. Default = 100;
An instance of the sburOut structure, containing the following members:
scalar, the value for the Pt unit root test.
scalar, the value for the MPT unit root test.
scalar, the value for the ADF unit root test.
scalar, the value for the ZA unit root test.
scalar, the value for the MZA unit root test.
scalar, the value for the MSB unit root test.
scalar, the value for the MZT unit root test.
Vector, the estimated break points.
scalar, the value of the c_bar parameter that is used in the quasi GLS-detrending.
- rtype sbOut:
library tspdlib; // Load data data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv", "Y + date($Date, '%b-%y')"); /* ** This section sets parameters ** for testing. */ // Set up control structure struct sburControl sburCtl; sburCtl = sburControlCreate(); // Number of breaks sburCtl.numberBreaks = 2; // Model to use model = 3; /* ** Estimation method ** when = 1 we use the algorithm, ** and = 0 brut force */ sburCtl.estimation = 1; sburCtl.maxIters = 20; // Output structure struct sburOut sbOut; sbOut = sbur_gls(data[., "Y"], model, sburCtl);