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AndPlob

Andrews and Ploberger brekapoint tests

CALLING SEQUENCE

resout = AndPlob(resin,t1,t2,arg1,...,argn)

PARAMETERS

Input

* resin = an ols result tlist

* t1 = starting breakpoint index or percentage, may be integer in [k+1,T-k-1] or percentage in (0,1).

* t2 = ending breakpoint index or percentage, may be integer in [k+1,T-k-1] or percentage in (0,1), must equal or exceed t1.

* arg1,..., argn = optional arguments that can be:

  - 'noprint' if the user does not want to print the results

  - 'nboost=xx' where xx is the number of bootstrap replications (default=1000)

 

Output

* resout = a result tlist, with

   . resout('meth')  = 'AndPlob'

    . resout('res all') = the original ols tlist

    . resout('res 1') = the estimation results over the period before the break

    . resout('res 2') = the estimation results over the period after the break

    . resout('res 2') = the estimated break point

    . resout('SupF') = Andrews Sup F statistics

    . resout('ExpF') = Andrews and Ploberger Exponential F statistics

    . resout('AveF') = Andrews and Ploberger Average F statistics

    . resout('SupF pvalues') = Andrews Sup F p-values:

       - asymptotic

       - boostrapped under homoskedasticity

       - boostrapped under heteroskedasticity

     . resout('ExpF')  = Andrews and Ploberger Exponential F p-values

       - asymptotic

       - boostrapped under homoskedasticity

       - boostrapped under heteroskedasticity

    . resout('AveF')  = Andrews and Ploberger Average F p-values

       - asymptotic

       - boostrapped under homoskedasticity

       - boostrapped under heteroskedasticity

    . resout('nboost') = # of boostrap draws

DESCRIPTION

Performs the Andrews and Andrews and Ploberger stability tests, with asymptotic and bootstrapped p-values.

EXAMPLE

global GROCERDIR;
load(GROCERDIR+'\data\Fra_Pib.dat')
rpib=ols('delts(log(Fra_PIB))','const','delts(lagts(log(Fra_PIB)))','delts(lagts(3,log(Fra_PIB)))')
rap=AndPlob(rpib,0.15,0.85);
// Provides the Andrews and Ploberger tests on French GDP from 1949 to 2010.

AUTHOR

Eric Dubois 2011

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