Cobra: A package for co-breaking analysis

  • Authors:

  • Michael Massmann

  • Affiliations:

  • Institute of Econometrics, University of Bonn, Adenauerallee 24-42, 53113 Bonn, Germany

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2007

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Abstract

Cobra, an econometric software package designed for CO-BReaking Analysis, is introduced. Cobra is programmed in Ox, the object-oriented statistical system, and consists of three modules: Firstly, CobraDgp is derived from the Database class and enables the user to generate a multivariate time series that is subject to multiple breaks in its intercept as well as linear trend. Secondly, the Cobra module is derived from the Modelbase class and implements two algorithms for the estimation of co-breaking relationships. Taking advantage of the capabilities provided by Modelbase, Cobra may be loaded into OxPack and used with the GUIGiveWin as front end. Finally, CobraSim is derived from the Simulation class and wrapped around CobraDgp and Cobra to allow a straightforward implementation of Monte Carlo experiments. A brief introduction of the concept of co-breaking is given before Cobra is illustrated by means of an empirical example as well as a simple Monte Carlo. Excerpts of Ox code as well as screenshots are provided.