楼主: zhaoyangqing
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[问答] 请高手帮我看一下这个BP structural break 结果? [推广有奖]

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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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关键词:Structural struct break bre TRU

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Miko_Yang1995 发表于 2019-6-6 10:18:03 |只看作者 |坛友微信交流群
楼主你好,最近在做BP断点检验,文献里面都说是用GAUSS实现的,但是在网上好像没有相关的内容,能否告知一下你的这个结果是怎么做出来的,或者说你参考了哪些网页之类的

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