The option chosen are: |
h = 17 |
eps1 = 0.15 |
hetdat = 1 |
hetvar = 1 |
hetomega = 1 |
hetq = 1 |
robust = 1 (prewhit =1) |
hetvar = 1 |
The maximum number of breaks is: 5 |
*********************************************************** |
Output from the global optimization |
*********************************************************** |
The model with 1breaks has SSR : 0.057609 |
The dates of the breaks are: 17 |
The model with 2breaks has SSR : 0.049152 |
The dates of the breaks are: 17 99 |
The model with 3breaks has SSR : 0.048936 |
The dates of the breaks are: 17 56 99 |
The model with 4breaks has SSR : 0.047923 |
The dates of the breaks are: 17 56 73 99 |
The model with 5breaks has SSR : 0.047669 |
The dates of the breaks are: 17 39 56 73 99 |
************************************ |
Output from the testing procedures |
************************************ |
a) supF tests against a fixed number of breaks |
----------------------------------------- |
The supF test for 0 versus 1breaks (scaled by q) is: 9.145 |
The supF test for 0 versus 2breaks (scaled by q) is: 20.8609 |
The supF test for 0 versus 3breaks (scaled by q) is: 14.2025 |
The supF test for 0 versus 4breaks (scaled by q) is: 12.0297 |
The supF test for 0 versus 5breaks (scaled by q) is: 10.1033 |
------------------------------------------------ |
The critical values at the 10% level are (for k=1 to 5): 7.04 6.28 5.21 4.41 3.47 |
The critical values at the 5% level are (for k=1 to 5): 8.58 7.22 5.96 4.99 3.91 |
The critical values at the 2.5% level are (for k=1 to 5): 10.18 8.14 6.72 5.51 4.34 |
The critical values at the 1% level are (for k=1 to 5): 12.29 9.36 7.6 6.19 4.91 |
--------------------------------------------------------- |
b) Dmax tests against an unknown number of breaks |
--------------------------------------------------------- |
The UDmax test is: 20.8609 |
(the critical value at the 10% level is: 7.46) |
(the critical value at the 5% level is: 8.88) |
(the critical value at the 2.5% level is: 10.39) |
(the critical value at the 1% level is: 12.37) |
**************************************************************** |
-------------------------------------- |
The WDmax test at the 10% level is: 20.8609 |
-------------------------------------- |
The WDmax test at the 5% level is: 20.8609 |
-------------------------------------- |
The WDmax test at the 2.5% level is: 20.8609 |
-------------------------------------- |
The WDmax test at the 1% level is: 20.8609 |
************************************************************** |
supF(l+1|l) tests using global optimizers under the null |
---------------------------------------------------------------- |
The supF(2|1) test is32.6625 |
It corresponds to a new break at: 99 |
The supF(3|2) test is0.86276 |
It corresponds to a new break at: 56 |
The supF(4|3) test is6.2289 |
It corresponds to a new break at: 73 |
The supF(5|4) test is1.4115 |
It corresponds to a new break at: 39 |
*************************************************************** |
The critical values of supF(l+1|l) at the 10% level are (for i=1 to 5 are: 7.04 8.51 9.41 10.04 10.58 |
The critical values of supF(l+1|l) at the 5% level are (for i=1 to 5 are: 8.58 10.13 11.14 11.83 12.25 |
The critical values of supF(l+1|l) at the 2.5% level are (for i=1 to 5 are: 10.18 11.86 12.66 13.4 13.89 |
The critical values of supF(l+1|l) at the 1% level are (for i=1 to 5 are: 12.29 13.89 14.8 15.28 15.76 |
***************************************************************** |
Output from the application of Information criteria |
--------------------------------------------------------------------- |
With 0 breaks: |
BIC= -7.2114 |
LWZ= -7.2027 |
With 1 breaks: |
BIC= -7.5257 |
LWZ= -7.4453 |
With 2 breaks: |
BIC= -7.6025 |
LWZ= -7.4501 |
With 3 breaks: |
BIC= -7.525 |
LWZ= -7.3002 |
With 4 breaks: |
BIC= -7.4639 |
LWZ= -7.1664 |
With 5 breaks: |
BIC= -7.3873 |
LWZ= -7.0167 |
The number of breaks chosen by BIC is : 2 |
The number of breaks chosen by LWZ is : 2 |
******************************************************************** |
Output from the sequential procedure at significance level 10% |
----------------------------------------------------------------------- |
The first break found is at: 17 |
The next break found is at: 99 |
The sequential procedure has reached the upper limit |
------------------------------------------------------------ |
The sequential procedure estimated the number of breaks at: 2 |
******************************************************************** |
Output from the sequential procedure at significance level 5% |
----------------------------------------------------------------------- |
The first break found is at: 17 |
The next break found is at: 99 |
The sequential procedure has reached the upper limit |
------------------------------------------------------------ |
The sequential procedure estimated the number of breaks at: 2 |
******************************************************************** |
Output from the sequential procedure at significance level 2.5% |
----------------------------------------------------------------------- |
The sequential procedure has reached the upper limit |
------------------------------------------------------------ |
The sequential procedure estimated the number of breaks at: 0 |
******************************************************************** |
Output from the sequential procedure at significance level 1% |
----------------------------------------------------------------------- |
The sequential procedure has reached the upper limit |
------------------------------------------------------------ |
The sequential procedure estimated the number of breaks at: 0 |
*********************************************** |
Output from the repartition procedure for the 10% significance level |
*********************************************** |
Output from the repartition procedure for the 5% significance level |
*********************************************** |
Output from the repartition procedure for the 2.5% significance level |
************************************************** |
The sequential procedure found no break and |
the repartition procedure is skipped. |
************************************************** |
*********************************************** |
Output from the repartition procedure for the 1% significance level |
************************************************** |
The sequential procedure found no break and |
the repartition procedure is skipped. |
************************************************** |
****************************************************** |
Output from the estimation of the model selected by BIC |
------------------------------------------------------------ |
|
Number of observations 116 |
Number of regressors 3 |
'' ' Estimator' 'SE' 'SE_robust' 't-stat' 'p-val' |
'C(1)' [ 0.9008] [0.0051] [ 0.0106] [ 84.7218] [ 0] |
'C(2)' [ 0.9489] [0.0023] [ 0.0014] [673.9774] [ 0] |
'C(3)' [ 0.9244] [0.0051] [ 0.0041] [224.2574] [ 0] |
|
R2: 0.42597 |
Variance of s2: 0.00043886 |
Log likelihood: 285.856 |
D-W statistics: 1.2372 |
---------------------------------------------------- |
Corrected standard errors for the coefficients |
---------------------------------------------------- |
The corrected standard errors for coefficient 1 is: 0.014187 |
The corrected standard errors for coefficient 2 is: 0.0017498 |
The corrected standard errors for coefficient 3 is: 0.0038671 |
-------------------------------------------------------- |
Confidence intervals for the break dates |
-------------------------------------------------------- |
The 95% C.I. for the 1th break is: 17 37 |
The 90% C.I. for the 1th break is: 17 32 |
The 95% C.I. for the 2th break is: 94 105 |
The 90% C.I. for the 2th break is: 96 103 |
*********************************************************** |
****************************************************** |
Output from the estimation of the model selected by the sequential method at significance level 10% |
---------------------------------------------------------- |
|
Number of observations 116 |
Number of regressors 3 |
'' ' Estimator' 'SE' 'SE_robust' 't-stat' 'p-val' |
'C(1)' [ 0.9008] [0.0051] [ 0.0106] [ 84.7218] [ 0] |
'C(2)' [ 0.9489] [0.0023] [ 0.0014] [673.9774] [ 0] |
'C(3)' [ 0.9244] [0.0051] [ 0.0041] [224.2574] [ 0] |
|
R2: 0.42597 |
Variance of s2: 0.00043886 |
Log likelihood: 285.856 |
D-W statistics: 1.2372 |
---------------------------------------------------- |
Corrected standard errors for the coefficients |
---------------------------------------------------- |
The corrected standard errors for coefficient 1 is: 0.014187 |
The corrected standard errors for coefficient 2 is: 0.0017498 |
The corrected standard errors for coefficient 3 is: 0.0038671 |
-------------------------------------------------------- |
Confidence intervals for the break dates |
-------------------------------------------------------- |
The 95% C.I. for the 1th break is: 17 37 |
The 90% C.I. for the 1th break is: 17 32 |
The 95% C.I. for the 2th break is: 94 105 |
The 90% C.I. for the 2th break is: 96 103 |
*********************************************************** |
For the 5% level, the model is the same as for the 10% level. |
The estimation is not repeated. |
------------------------------------------------------- |
For the 1% level, the model is the same as for the 2.5% level. |
The estimation is not repeated. |
---------------------------------------------------------- |
>> |
请问,我这五个断点有效吗?谢谢 |
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