1:02 p.m.
Good day all.
I am trying to learn the StrucBreak package. can some one please point me
to how to interpret the results below. I tried to follow the sample script
in the package using the PDF guide to the StrucBreak package.
gretl version 2018c
Current session: 2018-10-14 09:33
? include StrucBreak.gfn
StrucBreak 0.21, 2018-01-09 (Riccardo "Jack" Lucchetti and Sven Schreiber)
? open wp.gdt
Read datafile C:\Users\HP\Documents\gretl\wp.gdt
periodicity: 1, maxobs: 44
observations range: 1971 to 2014
Listing 6 variables:
0) const 1) Nigeria 2) Ghana 3) Togo 4) Senegal
5) Benin
? list Z = const Nigeria(-1)
? list X = null
? bundle bII = SB_Setup(Nigeria,Z,X,3)
SB_Setup: OK!
? bII.nh = 8 # dustance between breaks
? strings opts = defarray("HetdatYes", "HetvarYes",
"HetomegaNo", "HetqNo")
? SB_SetOptions(&bII, opts)
? SB_Global(&bII)
===================================================================
Options are now:
===================================================================
Robust S.E.: OFF
Warning: inappropriate if lagged dependent variables
are included as regressors
Hetdat: ON
Hetvar: ON, Hetomega: OFF, Hetq: OFF
beta : Nonfixed
Eps = 0.000 Eps1 = 0.100 Max. breaks = 3
Min. distance between breaks = 8
===================================================================
OUTPUT FROM THE GLOBAL OPTIMIZATION STAGE
===================================================================
Breaks SSR Dates
1 4117.47615 30 (2001)
2 3394.26266 10 (1981), 30 (2001)
3 3108.58184 10 (1981), 22 (1993), 30 (2001)
===================================================================
OUTPUT FROM THE APPLICATION OF INFORMATION CRITERIA
===================================================================
tmp (4 x 3)
Breaks BIC lwz
0.0000 4.8725 4.9201
1.0000 4.8242 5.0223
2.0000 4.8935 5.2483
3.0000 5.0679 5.5869
The number of breaks chosen by BIC is : 1
The number of breaks chosen by LWZ is : 0
? SB_Tests(&bII)
===================================================================
OUTPUT FROM THE TESTING PROCEDURES
===================================================================
a) supF tests against a fixed number of breaks
--------------------------------------------------------
supF(1|0) supF(2|0) supF(3|0)
11.432 11.189 10.897
Critical values:
supF(1|0) supF(2|0) supF(3|0)
10% 10.37 9.43 8.48
5% 12.25 10.58 9.29
2.5% 13.86 11.63 10.14
1% 16.19 12.90 11.12
--------------------------------------------------------
b) Dmax tests against an unknown number of breaks
--------------------------------------------------------
UDmax test: 11.431741
Crit. values: 10%: 10.86 5%: 12.59 2.5%: 14.15 1%: 16.19
........................................................
WDmax test (crit. val.)
10% 13.33 11.71
5% 14.37 13.66
2.5% 14.90 15.33
1% 15.87 17.80
********************************************************
supF(l+1|l) tests using global optimizers under the null
--------------------------------------------------------
supF(2|1) 10.93 1981
supF(3|2) 10.70 1993
--------------------------------------------------------
Critical values: 10% 5% 2.5% 1%
supF(2|1) 12.19 13.83 15.51 17.58
supF(3|2) 13.20 14.73 16.55 18.31
# eval bII.BreakDates
? SB_Estimate(&bII,"FIX",2)
===================================================================
OUTPUT FROM ESTIMATION OF THE MODEL WITH 2 BREAKS (fixed)
===================================================================
? SB_PrintEstimates(&bII)
Dependent variable: Nigeria
----------------------------------------------------------------
Subsample 1: 1972 - 1981
coefficient std. error z p-value
-------------------------------------------------------
const 15.0822 7.86913 1.917 0.0553 *
Nigeria_1 0.729122 0.159461 4.572 4.82e-06 ***
Subsample 2: 1982 - 2001
coefficient std. error z p-value
-------------------------------------------------------
const 53.0242 12.7994 4.143 3.43e-05 ***
Nigeria_1 0.379843 0.151844 2.502 0.0124 **
Subsample 3: 2002 - 2014
coefficient std. error z p-value
------------------------------------------------------
const 61.0134 18.9376 3.222 0.0013 ***
Nigeria_1 0.552676 0.149888 3.687 0.0002 ***
--------------------------------------------------------------
Confidence intervals for the break dates
--------------------------------------------------------------
The 95% C.I. for the 1th break is: 1976 - 1986
The 90% C.I. for the 1th break is: 1977 - 1985
The 95% C.I. for the 2th break is: 1999 - 2003
The 90% C.I. for the 2th break is: 1999 - 2003
********************************************************
--
*Yusuf Abdulwahab Hassan.Department of Economics and Development
Studies.Federal University of Kashere,Gombe.+234
8036830166.yabdulwahab(a)fukashere.edu.ng <yabdulwahab(a)fukashere.edu.ng>*