[问答] BAI and PERRON的结构突变程序求教~ [推广有奖]

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夏晨霞 发表于 2016-11-6 19:22:01 |只看作者 |坛友微信交流群

大头剑客发表于 2013-7-29 21:48
已发

你好，我是新手，最近一直再查BP，你能给我发一个程序包吗？谢谢啦！1012353115@qq.com

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cuibelinda 发表于 2016-11-12 01:36:57 |只看作者 |坛友微信交流群

大头剑客发表于 2013-7-28 14:56
好的，留个邮箱

你好，我最近也刚刚开始研究结构突变点，能否也发我一份程序包？谢谢

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cuibelinda 发表于 2016-11-12 01:38:42 |只看作者 |坛友微信交流群

mcui@shou.edu.cn

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夏晨霞 发表于 2016-12-5 16:35:08 |只看作者 |坛友微信交流群

大牛能不能帮我看一下我的程序参数是不是错了吗? 感激不尽！

new;
format /ld 6,4;

output file = real.out reset; @select your output file@
load yyy[30,1] = real.dat;    @read data@

bigt=30;                      @set effective sample size@

y=yyy[1:30,1];             @set up the data, y is the dependent variable
                              z is the matrix of regressors (bigt,q) whose
                              coefficients are allowed to change, x is a
                              (bigt,p) matrix of regressors with coefficients
                              fixed across regimes. Note: initialize x to
                              something, say 0, even if p = 0.@
z=ones(bigt,1);

x=0;

q=1;                      @number of regressors z@
p=0;                      @number of regressors x@
m=5;                      @maximum number of structural changes allowed@
eps1=.15;                @Value of the trimming (in percentage) for the construction
                              and critical values of the supF ype tests (used in the
                              supF test, the Dmax, the supF(l+1|l) and the sequential
                              procedure). If these test are used, h below should be set
                              at int(eps1*bigt). But if the tests are not required, estimation
                              can be done with an arbitrary h.
                              There are five options: eps1 = .05, .10, .15, .20 or .25.
                              For each option, the maximal value of m above is: 10 for eps1 = .05;
                              8 for eps1 = .10, 5 for eps1 = .15, 3 for eps1 = .20 and 2 for eps1 = .25.@
h=int(eps1*bigt);                      @minimal length of a segment (h >= p+q). Note: If
                              robust=1, h should be set at a larger value.@
/* the following are options if p > 0.
----------------------------------- */
fixb=0;                   @set to 1 if use fixed initial values for beta@
betaini=0;                @if fixb=1, load the initial value of beta.@
maxi=20;                   @maximum number of iterations for the nonlinear
                           procedure to obtain global minimizers.@
printd=1;                @set to 1 if want the output from the iterations
                           to be printed.@
eps=0.0001;                @criterion for the convergence.@
/*--------------------------------- */

robust=1;                @set to 1 if want to allow for heterogeneity
                           and autocorrelation the in residuals, 0 otherwise.
                           The method used is Andrews(1991) automatic
                           bandwidth with AR(1) approximation and the
                           quadratic quernel. Note: Do not set to 1 if
                           lagged dependent variables are included as
                           regressors.@
prewhit=1;                @set to 1 if want to apply AR(1) prewhitening
                           prior to estimating the long run covariance
                           matrix@
hetdat=1;             @Option for the construction of the F-tests.
                              Set to 1 if want to allow different moment matrices of the
                           regressors accross segments. If hetdat = 0, the same
                           moment matrices are assumed for each segment and estimated
                           from the full sample. It is recommended to set hetdat=1.  If p > 0
                              set hetdat = 1.@

中间的省略了

#include brcode.src          @set the path to where you store the file brcode.src@

别的都没动，就变了下数量。

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