spflp1 {mbreaks} | R Documentation |
SupF(l+1|l) test
Description
'spflp1' computes the test statistics of supF(l+1|l) test with null hypothesis is l='nseg-1' and alternative hypothesis is l+1. The l breaks under the null hypothesis are taken from the global minimization.
Usage
spflp1(bigvec, dt, nseg, y, z, h, q, prewhit, robust, x, p, hetdat, hetvar)
Arguments
bigvec |
associated SSR of estimated break date under H0 |
dt |
vector of estimated date under H0 |
nseg |
number of segment under H1 |
y |
matrix of dependent variable |
z |
matrix of variables with coefficients are allowed to change across regimes |
h |
minimum segment length |
q |
number of 'z' regressors |
prewhit , robust , hetdat , hetvar |
options on residuals/errors. For more details, please refer to [mdl()] |
x |
matrix of variables with constant coefficients across regimes |
p |
number of 'x' regressors |
Value
A list that contains the following:
- maxf
Maximum value of test
- newd
Additional date in alternative hypothesis
[Package mbreaks version 1.0.1 Index]