Extracting Indicator Saturation Breakdates

Takes an isat object and extracts the break dates together with their estimated coefficients.

Usage

isatdates(x)

Arguments

x: an isat object

Details

The function extracts the breakdates determined by isat for iis, sis, and tis, together with their estimated coefficients and standard errors.

Value

Returns a list of three elements (one for iis, sis, and tis). Each element lists the name of the break variable, the time index of the break (labelled 'date'), the index of the break date, the estimated coefficient, the standard error of the estimated coefficient, as well as the corresponding t-statistic and p-value.

References

Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression modeling and indicator saturation methods for the detection of outliers and structural breaks. Journal of Statistical Software, 86(3).

Author

Felix Pretis, http://www.felixpretis.org/

Examples

###Break date extraction of the Nile data
nile <- as.zoo(Nile)
isat.nile <- isat(nile, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)
#> 
#> SIS block 1 of 4:
#> 24 path(s) to search
#> Searching: 
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#> 25 path(s) to search
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#> 24 path(s) to search
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#> 
#> GETS of union of retained SIS variables... 
#> 2 path(s) to search
#> Searching: 
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#> GETS of union of ALL retained variables...
#> - All non-keep regressors significant in GUM

isatdates(isat.nile)
#> $iis
#> NULL
#> 
#> $sis
#>    breaks date index      coef   coef.se    coef.t       coef.p
#> 1 sis1899 1899    29 -250.6071  40.07294 -6.253775 1.108303e-08
#> 2 sis1913 1913    43 -391.1429 126.72175 -3.086628 2.645951e-03
#> 3 sis1914 1914    44  401.5789 123.49408  3.251807 1.582717e-03
#> 
#> $tis
#> NULL
#>