Estimation and Inference for Structural Breaks in Linear Regression Models
Format output of n break model
Compile the Output of Sup Wald Test
Compile the output of sequential Sup Wald test
Heteroskedasticy and autocorrelation consistency correction for residu...
Computation of global minimizer for pure structural change model
Diagonal partition given break dates
Estimate a model with pre-specified number of breaks
Global SSR minimizer for structural change model
Estimating number of breaks via information criterion
Estimating number of breaks using repartition procedure
Sequential Sup F tests
Estimating number of breaks using sequential tests
SupF, UDMax & WDMax testing procedure
Structural change model estimation
Estimatd break confidence interval
Comprehensive structural change estimation and testing
Computation of global minimizer for partial structural change model
SupF test for 0 vs i breaks
Construct diagonal matrix according to break date
Plot structural change model
Print information of mbreaks comprehensive procedure
Summary output of a structural breaks model
Print Sup F and UDMax tests
Print sequential SupF tests
Construct diagonal matrix of estimated variance
SupF(l+1|l) test
Functions provide comprehensive treatments for estimating, inferring, testing and model selecting in linear regression models with structural breaks. The tests, estimation methods, inference and information criteria implemented are discussed in Bai and Perron (1998) "Estimating and Testing Linear Models with Multiple Structural Changes" <doi:10.2307/2998540>.