isatdates function

Extracting Indicator Saturation Breakdates

Takes an isat object and extracts the break dates together with their estimated coefficients.

isatdates(x)

Arguments

• x: an isat object

Details

The function extracts the breakdates determined by isat for iis, sis, and tis, together with their estimated coefficients and standard errors.

Returns

Returns a list of three elements (one for iis, sis, and tis). Each element lists the name of the break variable, the time index of the break (labelled 'date'), the index of the break date, the estimated coefficient, the standard error of the estimated coefficient, as well as the corresponding t-statistic and p-value.

References

Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression modeling and indicator saturation methods for the detection of outliers and structural breaks. Journal of Statistical Software, 86(3).

Author(s)

Felix Pretis, https://felixpretis.climateeconometrics.org/

See Also

isat

Examples

###Break date extraction of the Nile data
nile <- as.zoo(Nile)
isat.nile <- isat(nile, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)
isatdates(isat.nile)