ci.date.m: Confidence Intervals for Break Dates

In QR.break: Structural Breaks in Quantile Regression

Confidence Intervals for Break Dates

Description

This function constructs confidence intervals for break dates based on a single quantile or multiple quantiles (specified by the user).

Usage

ci.date.m(y, x, vec.tau, vec.date, n.size = 1, v.b = 2)

Arguments

y	A numeric vector of dependent variables (NT \times 1).
x	A numeric matrix of regressors (NT \times p).
vec.tau	A numeric vector of quantiles of interest.
vec.date	A numeric vector of estimated break dates.
n.size	An integer specifying the size of the cross section (N).
v.b	A numeric value specifying the confidence level: v.b = 1 for the 90% confidence interval. v.b = 2 for the 95% confidence interval.

Value

A numeric matrix where:

• The 1st column contains the break dates.

• The 2nd and 3rd columns contain the lower and upper bounds of the confidence intervals, respectively.

References

Oka, T. and Z. Qu (2011). Estimating Structural Changes in Regression Quantiles. Journal of Econometrics, 162(2), 248–267.

Examples

# data 
data(gdp)
y = gdp$gdp
x = gdp[,c("lag1", "lag2")] 

# quantiles 
vec.tau  = 0.8

# break dates (point estimates)
vec.date = c(146, 200)

# Calculate confidence intervals for break dates
res = ci.date.m(y, x, vec.tau, vec.date, n.size = 1, v.b = 2)
print(res)

QR.break documentation built on June 8, 2025, 1:53 p.m.