请教关于bai and Perron方法测multiple break points

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收藏 2009-03-11

刚学这个东西，看不懂结果，请教下以下结果要怎么看啊？？谢谢谢谢The options chosen are: h =&nbsp; 28.0000 eps1 =&nbsp; 0.1500 hetdat =&nbsp; 1.0000 hetvar =&nbsp; 1.0000 hetomega =&nbsp; 1.0000 hetq =&nbsp; 1.0000 robust =&nbsp; 1.0000 (prewhit =&nbsp; 1.0000 ) The maximum number of breaks is:&nbsp; 5.0000 ******************************************************** Output from the global optimization ******************************************************** The model with 1.0000 breaks has SSR :&nbsp; 34.9487 The dates of the breaks are:&nbsp;&nbsp; 42.0000 The model with 2.0000 breaks has SSR :&nbsp; 29.4489 The dates of the breaks are:&nbsp; &nbsp;42.0000 &nbsp;84.0000 The model with 3.0000 breaks has SSR :&nbsp; 29.1108 The dates of the breaks are:&nbsp; &nbsp;42.0000 &nbsp;92.0000 &nbsp;120.0000 The model with 4.0000 breaks has SSR :&nbsp; 28.5707 The dates of the breaks are:&nbsp; &nbsp;42.0000 &nbsp;92.0000 &nbsp;120.0000 &nbsp;152.0000 The model with 5.0000 breaks has SSR :&nbsp; 30.1982 The dates of the breaks are:&nbsp; &nbsp;42.0000 &nbsp;70.0000 &nbsp;98.0000 &nbsp;126.0000 &nbsp;154.0000 ******************************************************** 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: 11.8300 The supF test for 0 versus 2.0000 breaks (scaled by q) is: 7.1363 The supF test for 0 versus 3.0000 breaks (scaled by q) is: 6.3308 The supF test for 0 versus 4.0000 breaks (scaled by q) is: 7.3353 The supF test for 0 versus 5.0000 breaks (scaled by q) is: 3.6518 ------------------------- The critical values at the&nbsp; 10.0000 % level are (for k=1 to&nbsp; 5.0000 ): &nbsp;7.0400&nbsp; 6.2800&nbsp; 5.2100&nbsp; 4.4100&nbsp; 3.4700 The critical values at the&nbsp; 5.0000 % level are (for k=1 to&nbsp; 5.0000 ): &nbsp;8.5800&nbsp; 7.2200&nbsp; 5.9600&nbsp; 4.9900&nbsp; 3.9100 The critical values at the&nbsp; 2.5000 % level are (for k=1 to&nbsp; 5.0000 ): &nbsp;10.1800&nbsp; 8.1400&nbsp; 6.7200&nbsp; 5.5100&nbsp; 4.3400 The critical values at the&nbsp; 1.0000 % level are (for k=1 to&nbsp; 5.0000 ): &nbsp;12.2900&nbsp; 9.3600&nbsp; 7.6000&nbsp; 6.1900&nbsp; 4.9100 -------------------------------------------------------------- b) Dmax tests against an unknown number of breaks -------------------------------------------------------------- The UDmax test is:&nbsp; 11.8300 (the critical value at the&nbsp; 10.0000 % level is:&nbsp; 7.4600 ) (the critical value at the&nbsp; 5.0000 % level is:&nbsp; 8.8800 ) (the critical value at the&nbsp; 2.5000 % level is:&nbsp; 10.3900 ) (the critical value at the&nbsp; 1.0000 % level is:&nbsp; 12.3700 ) ******************************************************** --------------------- The WDmax test at the&nbsp; 10.0000 % level is:&nbsp; 11.8300 (The critical value is:&nbsp; 8.2000 ) --------------------- The WDmax test at the&nbsp; 5.0000 % level is:&nbsp; 12.6127 (The critical value is:&nbsp; 9.9100 ) --------------------- The WDmax test at the&nbsp; 2.5000 % level is:&nbsp; 13.5524 (The critical value is:&nbsp; 11.6700 ) --------------------- The WDmax test at the&nbsp; 1.0000 % level is:&nbsp; 14.5640 (The critical value is:&nbsp; 13.8300 ) ******************************************************** supF(l+1|l) tests using global otimizers under the null -------------------------------------------------------------- The supF( 2.0000 | 1.0000 ) test is :&nbsp; 6.4337 It corresponds to a new break at:&nbsp; 84.0000 The supF( 3.0000 | 2.0000 ) test is :&nbsp; 2.0548 It corresponds to a new break at:&nbsp; 152.0000 The supF( 4.0000 | 3.0000 ) test is :&nbsp; 6.7518 It corresponds to a new break at:&nbsp; 152.0000 Given the location of the breaks from the global optimization with&nbsp; 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 :&nbsp; 0.0000 It corresponds to a new break at:&nbsp; 0.0000 ******************************************************** The critical values of supF(i+1|i) at the&nbsp; 10.0000 % level are (for i=1 to&nbsp; 5.0000 ) are: &nbsp;7.0400&nbsp; 8.5100&nbsp; 9.4100&nbsp; 10.0400&nbsp; 10.5800 The critical values of supF(i+1|i) at the&nbsp; 5.0000 % level are (for i=1 to&nbsp; 5.0000 ) are: &nbsp;8.5800&nbsp; 10.1300&nbsp; 11.1400&nbsp; 11.8300&nbsp; 12.2500 The critical values of supF(i+1|i) at the&nbsp; 2.5000 % level are (for i=1 to&nbsp; 5.0000 ) are: &nbsp;10.1800&nbsp; 11.8600&nbsp; 12.6600&nbsp; 13.4000&nbsp; 13.8900 The critical values of supF(i+1|i) at the&nbsp; 1.0000 % level are (for i=1 to&nbsp; 5.0000 ) are: &nbsp;12.2900&nbsp; 13.8900&nbsp; 14.8000&nbsp; 15.2800&nbsp; 15.7600 ******************************************************** Output from the application of Information criteria -------------------------------------------------------------- Values of BIC and lwz with&nbsp; 0.0000&nbsp; breaks: -1.5965 -1.5911 Values of BIC and lwz with&nbsp; 1.0000&nbsp; breaks: -1.6324 -1.5693 Values of BIC and lwz with&nbsp; 2.0000&nbsp; breaks: -1.7482 -1.6271 Values of BIC and lwz with&nbsp; 3.0000&nbsp; breaks: -1.7042 -1.5251 Values of BIC and lwz with&nbsp; 4.0000&nbsp; breaks: -1.6675 -1.4302 Values of BIC and lwz with&nbsp; 5.0000&nbsp; breaks: -1.5566 -1.2610 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&nbsp; 10.0000 % -------------------------------------------------------------- The first break found is at:&nbsp; 42.0000 ---------------------------------------------------- The sequential procedure estimated the number of breaks at: 1.0000 ******************************************************** Output from the sequential procedure at significance level&nbsp; 5.0000 % -------------------------------------------------------------- The first break found is at:&nbsp; 42.0000 ---------------------------------------------------- The sequential procedure estimated the number of breaks at: 1.0000 ******************************************************** Output from the sequential procedure at significance level&nbsp; 2.5000 % -------------------------------------------------------------- The first break found is at:&nbsp; 42.0000 ---------------------------------------------------- The sequential procedure estimated the number of breaks at: 1.0000 ******************************************************** Output from the sequential procedure at significance level&nbsp; 1.0000 % -------------------------------------------------------------- ---------------------------------------------------- The sequential procedure estimated the number of breaks at: 0.0000 ******************************************************** Output from the repartition procedure for the&nbsp; 10.0000 % significance level ---------------------------------------- The updated break dates are : 42.0000 ******************************************************** Output from the repartition procedure for the&nbsp; 5.0000 % significance level ---------------------------------------- The updated break dates are : 42.0000 ******************************************************** Output from the repartition procedure for the&nbsp; 2.5000 % significance level ---------------------------------------- The updated break dates are : 42.0000 ******************************************************** Output from the repartition procedure for the&nbsp; 1.0000 % significance level ******************************************************** The sequential procedure found no break and the repartition procedure is skipped. ******************************************************** ******************************************************** Output from the estimation of the model selected by BIC -------------------------------------------------------------- Valid cases:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dependent variable:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Y Missing cases:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deletion method:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; None Total SS:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38.294&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Degrees of freedom:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 R-squared:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.231&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rbar-squared:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.223 Residual SS:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29.449&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Std error of est:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.398 F(3,186):&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18.622&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Probability of F:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000 Durbin-Watson:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.337&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Standard&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prob&nbsp;&nbsp; Standardized&nbsp; Cor with Variable&nbsp;&nbsp;&nbsp;&nbsp; Estimate&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Error&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; t-value&nbsp;&nbsp;&nbsp;&nbsp; &gt;|t|&nbsp;&nbsp;&nbsp;&nbsp; Estimate&nbsp;&nbsp;&nbsp; Dep Var ------------------------------------------------------------------------------- X1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.096598&nbsp;&nbsp;&nbsp; 0.061398&nbsp;&nbsp;&nbsp; 1.573319&nbsp;&nbsp;&nbsp;&nbsp; 0.117&nbsp;&nbsp;&nbsp; 0.080250&nbsp;&nbsp;&nbsp; 0.080250 X2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.722450&nbsp;&nbsp;&nbsp; 0.061398&nbsp;&nbsp; 11.766690&nbsp;&nbsp;&nbsp;&nbsp; 0.000&nbsp;&nbsp;&nbsp; 0.600182&nbsp;&nbsp;&nbsp; 0.600182 X3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.294283&nbsp;&nbsp;&nbsp; 0.038831&nbsp;&nbsp;&nbsp; 7.578473&nbsp;&nbsp;&nbsp;&nbsp; 0.000&nbsp;&nbsp;&nbsp; 0.386554&nbsp;&nbsp;&nbsp; 0.386554 -------------------------------------------------------------- Corrected standard errors for the coefficients -------------------------------------------------------------- The corrected standard error for coefficient 1.0000 is: 0.0688 The corrected standard error for coefficient 2.0000 is: 0.1651 The corrected standard error for coefficient 3.0000 is: 0.0293 -------------------------------------------------------------- Confidence intervals for the break dates -------------------------------------------------------------- The 95% C.I. for the 1.0000 th break is:&nbsp; 7.0000&nbsp; 46.0000 The 90% C.I. for the 1.0000 th break is:&nbsp; 17.0000&nbsp; 44.0000 The 95% C.I. for the 2.0000 th break is:&nbsp; 82.0000&nbsp; 159.0000 The 90% C.I. for the 2.0000 th break is:&nbsp; 83.0000&nbsp; 138.0000 ******************************************************** ******************************************************** Output from the estimation of the model selected by the &nbsp;sequential method at significance level&nbsp; 10.0000 % -------------------------------------------------------------- Valid cases:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dependent variable:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Y Missing cases:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deletion method:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; None Total SS:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38.294&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Degrees of freedom:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 R-squared:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.087&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rbar-squared:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.082 Residual SS:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34.949&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Std error of est:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.432 F(2,187):&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.950&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Probability of F:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000 Durbin-Watson:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.139&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Standard&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prob&nbsp;&nbsp; Standardized&nbsp; Cor with Variable&nbsp;&nbsp;&nbsp;&nbsp; Estimate&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Error&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; t-value&nbsp;&nbsp;&nbsp;&nbsp; &gt;|t|&nbsp;&nbsp;&nbsp;&nbsp; Estimate&nbsp;&nbsp;&nbsp; Dep Var ------------------------------------------------------------------------------- X1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.096598&nbsp;&nbsp;&nbsp; 0.066707&nbsp;&nbsp;&nbsp; 1.448105&nbsp;&nbsp;&nbsp;&nbsp; 0.149&nbsp;&nbsp;&nbsp; 0.080250&nbsp;&nbsp;&nbsp; 0.080250 X2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.416616&nbsp;&nbsp;&nbsp; 0.035656&nbsp;&nbsp; 11.684234&nbsp;&nbsp;&nbsp;&nbsp; 0.000&nbsp;&nbsp;&nbsp; 0.647509&nbsp;&nbsp;&nbsp; 0.647509 -------------------------------------------------------------- Corrected standard errors for the coefficients -------------------------------------------------------------- The corrected standard error for coefficient 1.0000 is: 0.0688 The corrected standard error for coefficient 2.0000 is: 0.0619 -------------------------------------------------------------- Confidence intervals for the break dates -------------------------------------------------------------- The 95% C.I. for the 1.0000 th break is: -23.0000&nbsp; 60.0000 The 90% C.I. for the 1.0000 th break is: -5.0000&nbsp; 54.0000 ******************************************************** for the&nbsp; 5.0000 % level, the model is the same as for the&nbsp; 10.0000 % level. The estimation is not repeated. ---------------------------------------------------------------- for the&nbsp; 2.5000 % level, the model is the same as for the&nbsp; 5.0000 % level. The estimation is not repeated. ----------------------------------------------------------------