【求助】关于bai和perron的变点模型的问题

急问有研究过bai和perron变点模型程序的好心人:

问题1：情况是这样的，我在使用该程序的时候没有对主程序进行改动，只是按照自己的情况更改了break.prg中的参数。
运行后有结果的，但显示“the procedure to get critical values for the break dates has reached the upper bound on the number of iterations. This may be due to incorrect specifications of the upper or lower bound in the procedure cvg. The resulting confidence interval for this break date is incorrect”。置信区间出现问题。请问各位碰到过此类情况吗？是怎么解决的呢？
问题2：请问该程序结果中如何看出参数估值结果呢？

万望不吝赐教！

希望好心人帮忙解答

急用啊。。。各位了解的务必不吝赐教

我先下载文章研究一下。。。

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[color=#fafafa !important][backcolor=#363636 !important]

是不是这一篇
Computation and Analysis of Multiple Structural Change Models

我没仔细看文章，就稍微看了一下程序。其解决方案如下
问题1：在brcode.src中，找出以下段落
do while abs(crit) >= .000001;
cct=cct+1;
if cct > 100;

这个可以更改成
do while abs(crit) >= .0001; @precision@
cct=cct+1;
if cct > 1000; @number of itaration@

问题2：如果没有更改程序，其结果如下
The options chosen are:
h =  15.0000
eps1 =  0.1500
hetdat =  1.0000
hetvar =  1.0000
hetomega =  1.0000
hetq =  1.0000
robust =  1.0000 (prewhit =  1.0000 )
The maximum number of breaks is:  5.0000
********************************************************
Output from the global optimization
********************************************************
The model with 1.0000 breaks has SSR :  644.9955
The dates of the breaks are:   79.0000
The model with 2.0000 breaks has SSR :  455.9502
The dates of the breaks are:  
47.0000
79.0000
The model with 3.0000 breaks has SSR :  445.1819
The dates of the breaks are:  
24.0000
47.0000
79.0000
The model with 4.0000 breaks has SSR :  444.8797
The dates of the breaks are:  
24.0000
47.0000
64.0000
79.0000
The model with 5.0000 breaks has SSR :  449.6395
The dates of the breaks are:  
16.0000
31.0000
47.0000
64.0000
79.0000
********************************************************
Output from the testing procedures
********************************************************
a) supF tests against a fixed number of breaks
--------------------------------------------------------------
The supF test for 0 versus 1.0000 breaks (scaled by q) is: 57.9058
The supF test for 0 versus 2.0000 breaks (scaled by q) is: 43.0143
The supF test for 0 versus 3.0000 breaks (scaled by q) is: 33.3228
The supF test for 0 versus 4.0000 breaks (scaled by q) is: 24.7706
The supF test for 0 versus 5.0000 breaks (scaled by q) is: 18.3259
-------------------------
The critical values at the  10.0000 % level are (for k=1 to  5.0000 ):
7.0400  6.2800  5.2100  4.4100  3.4700
The critical values at the  5.0000 % level are (for k=1 to  5.0000 ):
8.5800  7.2200  5.9600  4.9900  3.9100
The critical values at the  2.5000 % level are (for k=1 to  5.0000 ):
10.1800  8.1400  6.7200  5.5100  4.3400
The critical values at the  1.0000 % level are (for k=1 to  5.0000 ):
12.2900  9.3600  7.6000  6.1900  4.9100
--------------------------------------------------------------
b) Dmax tests against an unknown number of breaks
--------------------------------------------------------------
The UDmax test is:  57.9058
(the critical value at the  10.0000 % level is:  7.4600 )
(the critical value at the  5.0000 % level is:  8.8800 )
(the critical value at the  2.5000 % level is:  10.3900 )
(the critical value at the  1.0000 % level is:  12.3700 )
********************************************************
---------------------
The WDmax test at the  10.0000 % level is:  57.9058
(The critical value is:  8.2000 )
---------------------
The WDmax test at the  5.0000 % level is:  57.9058
(The critical value is:  9.9100 )
---------------------
The WDmax test at the  2.5000 % level is:  57.9058
(The critical value is:  11.6700 )
---------------------
The WDmax test at the  1.0000 % level is:  57.9058
(The critical value is:  13.8300 )
********************************************************
supF(l+1|l) tests using global otimizers under the null
--------------------------------------------------------------
The supF( 2.0000 | 1.0000 ) test is :  33.9275
It corresponds to a new break at:  47.0000
The supF( 3.0000 | 2.0000 ) test is :  14.7246
It corresponds to a new break at:  24.0000
The supF( 4.0000 | 3.0000 ) test is :  0.0330
It corresponds to a new break at:  64.0000
Given the location of the breaks from the global optimization
with  4.0000 breaks there was no more place to insert
an additional breaks that satisfy the minimal length requirement.
The supF( 5.0000 | 4.0000 ) test is :  0.0000
It corresponds to a new break at:  0.0000
********************************************************
The critical values of supF(i+1|i) at the  10.0000 % level are (for i=1 to  5.0000 ) are:
7.0400  8.5100  9.4100  10.0400  10.5800
The critical values of supF(i+1|i) at the  5.0000 % level are (for i=1 to  5.0000 ) are:
8.5800  10.1300  11.1400  11.8300  12.2500
The critical values of supF(i+1|i) at the  2.5000 % level are (for i=1 to  5.0000 ) are:
10.1800  11.8600  12.6600  13.4000  13.8900
The critical values of supF(i+1|i) at the  1.0000 % level are (for i=1 to  5.0000 ) are:
12.2900  13.8900  14.8000  15.2800  15.7600
********************************************************
Output from the application of Information criteria
--------------------------------------------------------------
Values of BIC and lwz with  0.0000  breaks:  2.4677  2.4775
Values of BIC and lwz with  1.0000  breaks:  1.9245  2.0095
Values of BIC and lwz with  2.0000  breaks:  1.6676  1.8282
Values of BIC and lwz with  3.0000  breaks:  1.7337  1.9703
Values of BIC and lwz with  4.0000  breaks:  1.8231  2.1360
Values of BIC and lwz with  5.0000  breaks:  1.9237  2.3136
The number of breaks chosen by BIC is : 2.0000
The number of breaks chosen by LWZ is : 2.0000
********************************************************
Output from the sequential procedure at significance level  10.0000 %
--------------------------------------------------------------
The first break found is at:  79.0000
The next break found is at:  47.0000
The next break found is at:  24.0000
----------------------------------------------------
The sequential procedure estimated the number of breaks at: 3.0000
********************************************************
Output from the sequential procedure at significance level  5.0000 %
--------------------------------------------------------------
The first break found is at:  79.0000
The next break found is at:  47.0000
The next break found is at:  24.0000
----------------------------------------------------
The sequential procedure estimated the number of breaks at: 3.0000
********************************************************
Output from the sequential procedure at significance level  2.5000 %
--------------------------------------------------------------
The first break found is at:  79.0000
The next break found is at:  47.0000
The next break found is at:  24.0000
----------------------------------------------------

The sequential procedure estimated the number of breaks at: 3.0000
********************************************************
Output from the sequential procedure at significance level  1.0000 %
--------------------------------------------------------------
The first break found is at:  79.0000
The next break found is at:  47.0000
----------------------------------------------------
The sequential procedure estimated the number of breaks at: 2.0000
********************************************************
Output from the repartition procedure for the  10.0000 % significance level
----------------------------------------
The updated break dates are :
24.0000
47.0000
79.0000
********************************************************
Output from the repartition procedure for the  5.0000 % significance level
----------------------------------------
The updated break dates are :
24.0000
47.0000
79.0000
********************************************************
Output from the repartition procedure for the  2.5000 % significance level
----------------------------------------
The updated break dates are :
24.0000
47.0000
79.0000
********************************************************
Output from the repartition procedure for the  1.0000 % significance level
----------------------------------------
The updated break dates are :
47.0000
79.0000
********************************************************
Output from the estimation of the model selected by BIC
--------------------------------------------------------------
Valid cases:                   103      Dependent variable:                   Y
Missing cases:                   0      Deletion method:                   None
Total SS:                 1214.922      Degrees of freedom:                 100
R-squared:                   0.625      Rbar-squared:                     0.617
Residual SS:               455.950      Std error of est:                 2.135
F(3,100):                   55.486      Probability of F:                 0.000
Durbin-Watson:               1.942

                         Standard                 Prob   Standardized  Cor with
Variable     Estimate      Error      t-value     >|t|     Estimate    Dep Var
-------------------------------------------------------------------------------
X1           1.355037    0.311465    4.350523     0.000    0.247421    0.247421
X2          -1.796138    0.377471   -4.758347     0.000   -0.270615   -0.270615
X3           5.642890    0.435866   12.946384     0.000    0.736282    0.736282
--------------------------------------------------------------
Corrected standard errors for the coefficients
--------------------------------------------------------------
The corrected standard error for coefficient 1.0000 is: 0.1555
The corrected standard error for coefficient 2.0000 is: 0.5110
The corrected standard error for coefficient 3.0000 is: 0.6029
--------------------------------------------------------------
Confidence intervals for the break dates
--------------------------------------------------------------
The 95% C.I. for the 1.0000 th break is:  36.0000  48.0000
The 90% C.I. for the 1.0000 th break is:  39.0000  48.0000
The 95% C.I. for the 2.0000 th break is:  77.0000  81.0000
The 90% C.I. for the 2.0000 th break is:  77.0000  81.0000
********************************************************
********************************************************
Output from the estimation of the model selected by the
sequential method at significance level  10.0000 %
--------------------------------------------------------------
Valid cases:                   103      Dependent variable:                   Y
Missing cases:                   0      Deletion method:                   None
Total SS:                 1214.922      Degrees of freedom:                  99
R-squared:                   0.634      Rbar-squared:                     0.622
Residual SS:               445.182      Std error of est:                 2.121
F(4,99):                    42.794      Probability of F:                 0.000
Durbin-Watson:               1.982

                         Standard                 Prob   Standardized  Cor with
Variable     Estimate      Error      t-value     >|t|     Estimate    Dep Var
-------------------------------------------------------------------------------
X1           1.823617    0.432858    4.212967     0.000    0.237945    0.237945
X2           0.866085    0.442168    1.958724     0.053    0.110627    0.110627
X3          -1.796138    0.374866   -4.791414     0.000   -0.270615   -0.270615
X4           5.642890    0.432858   13.036351     0.000    0.736282    0.736282
--------------------------------------------------------------
Corrected standard errors for the coefficients
--------------------------------------------------------------
The corrected standard error for coefficient 1.0000 is: 0.1899
The corrected standard error for coefficient 2.0000 is: 0.1535
The corrected standard error for coefficient 3.0000 is: 0.5110
The corrected standard error for coefficient 4.0000 is: 0.6029
--------------------------------------------------------------
Confidence intervals for the break dates
--------------------------------------------------------------
The 95% C.I. for the 1.0000 th break is:  17.0000  35.0000
The 90% C.I. for the 1.0000 th break is:  19.0000  32.0000
The 95% C.I. for the 2.0000 th break is:  32.0000  48.0000
The 90% C.I. for the 2.0000 th break is:  36.0000  48.0000
The 95% C.I. for the 3.0000 th break is:  77.0000  81.0000
The 90% C.I. for the 3.0000 th break is:  77.0000  81.0000
********************************************************
for the  5.0000 % level, the model is the same as for the  10.0000 % level.
The estimation is not repeated.
----------------------------------------------------------------
for the  2.5000 % level, the model is the same as for the  5.0000 % level.
The estimation is not repeated.

----------------------------------------------------------------
Output from the estimation of the model selected by the
sequential method at significance level  1.0000 %
--------------------------------------------------------------
Valid cases:                   103      Dependent variable:                   Y
Missing cases:                   0      Deletion method:                   None
Total SS:                 1214.922      Degrees of freedom:                 100
R-squared:                   0.625      Rbar-squared:                     0.617
Residual SS:               455.950      Std error of est:                 2.135
F(3,100):                   55.486      Probability of F:                 0.000
Durbin-Watson:               1.942

                         Standard                 Prob   Standardized  Cor with
Variable     Estimate      Error      t-value     >|t|     Estimate    Dep Var
-------------------------------------------------------------------------------
X1           1.355037    0.311465    4.350523     0.000    0.247421    0.247421
X2          -1.796138    0.377471   -4.758347     0.000   -0.270615   -0.270615
X3           5.642890    0.435866   12.946384     0.000    0.736282    0.736282
--------------------------------------------------------------
Corrected standard errors for the coefficients
--------------------------------------------------------------
The corrected standard error for coefficient 1.0000 is: 0.1555
The corrected standard error for coefficient 2.0000 is: 0.5110
The corrected standard error for coefficient 3.0000 is: 0.6029
--------------------------------------------------------------
Confidence intervals for the break dates
--------------------------------------------------------------
The 95% C.I. for the 1.0000 th break is:  36.0000  48.0000
The 90% C.I. for the 1.0000 th break is:  39.0000  48.0000
The 95% C.I. for the 2.0000 th break is:  77.0000  81.0000
The 90% C.I. for the 2.0000 th break is:  77.0000  81.0000
********************************************************
********************************************************
Output from the estimation of the model with 2.0000 breaks
--------------------------------------------------------------
Valid cases:                   103      Dependent variable:                   Y
Missing cases:                   0      Deletion method:                   None
Total SS:                 1214.922      Degrees of freedom:                 100
R-squared:                   0.625      Rbar-squared:                     0.617
Residual SS:               455.950      Std error of est:                 2.135
F(3,100):                   55.486      Probability of F:                 0.000
Durbin-Watson:               1.942

                         Standard                 Prob   Standardized  Cor with
Variable     Estimate      Error      t-value     >|t|     Estimate    Dep Var
-------------------------------------------------------------------------------
X1           1.355037    0.311465    4.350523     0.000    0.247421    0.247421
X2          -1.796138    0.377471   -4.758347     0.000   -0.270615   -0.270615
X3           5.642890    0.435866   12.946384     0.000    0.736282    0.736282
--------------------------------------------------------------
Corrected standard errors for the coefficients
--------------------------------------------------------------
The corrected standard error for coefficient 1.0000 is: 0.1555
The corrected standard error for coefficient 2.0000 is: 0.5110
The corrected standard error for coefficient 3.0000 is: 0.6029
--------------------------------------------------------------
Confidence intervals for the break dates
--------------------------------------------------------------
The 95% C.I. for the 1.0000 th break is:  36.0000  48.0000
The 90% C.I. for the 1.0000 th break is:  39.0000  48.0000
The 95% C.I. for the 2.0000 th break is:  77.0000  81.0000
The 90% C.I. for the 2.0000 th break is:  77.0000  81.0000
********************************************************
>>

kohyoubeng 发表于 2012-3-14 13:19
----------------------------------------------------------------
Output from the estimation of the  ...

请问如何看参数估值的结果呢

xiaoftyun 发表于 2012-3-15 21:15
请问如何看参数估值的结果呢

我没看文章，所以不清楚参数的意义。我看看什么时候有时间，再帮你看看吧

kohyoubeng 发表于 2012-3-20 09:58
我没看文章，所以不清楚参数的意义。我看看什么时候有时间，再帮你看看吧

多谢你了