Quandt/Andrews sup-Wald structural-break test

SupF = max over trimmed break dates of the Wald (Chow) statistic W(k) = (T - 2m)(SSR_0 - SSR_1(k))/SSR_1(k); asymptotic p-value by Hansen (1997) Eq. 8, p = P(chi^2_eta > theta0 + theta1 SupF), with Table 2 coefficients selected by (m, trim).

Usage

morie_qlrtst(y, X = NULL, trim = 0.15)

Arguments

y

Numeric dependent variable.

X

Optional regressor matrix WITHOUT intercept (added automatically); default mean-shift model.

trim

Symmetric trimming: 0.01, 0.05, 0.15 (default), 0.25 or 0.35.

Value

A list with elements statistic, breakpoint (0-based index of the second regime's first observation), p_value (NULL for m > 10), f_path, path_start, m, trim, n, method.

References

Quandt, R. E. (1960). JASA, 55, 324-330. Andrews, D. W. K. (1993). Econometrica, 61, 821-856. Hansen, B. E. (1997). Journal of Business & Economic Statistics, 15, 60-67.

Examples

V <- c(1, 2, 3, 4, 5, 6, 7, 8)
morie_qlrtst(V)
#> $statistic
#> [1] 19.2
#> 
#> $breakpoint
#> [1] 4
#> 
#> $p_value
#> [1] 0.0003316666
#> 
#> $f_path
#> [1]  8.0 15.0 19.2 15.0  8.0
#> 
#> $path_start
#> [1] 2
#> 
#> $m
#> [1] 1
#> 
#> $trim
#> [1] 0.15
#> 
#> $n
#> [1] 8
#> 
#> $method
#> [1] "Quandt/Andrews sup-Wald; Hansen (1997) p-value"
#>