rq.est.regime: Regime-Specific Coefficients and Confidence Intervals Given...

In QR.break: Structural Breaks in Quantile Regression

Regime-Specific Coefficients and Confidence Intervals Given Break Dates

Description

This function estimates the coefficients for each regime, given the break dates.

Usage

rq.est.regime(y, x, v.tau, vec.date, n.size = 1)

Arguments

y	A vector of dependent variables (NT \times 1).
x	A matrix of regressors (NT \times p).
v.tau	The quantile of interest.
vec.date	A vector of estimated break dates.
n.size	The cross-sectional sample size (N).

Value

A list containing the estimated coefficients for each regime.

Examples

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

## quantile
v.tau = 0.8

## break date
vec.date = 146

# cross-sectional size
n.size = 1

## estimation
result = rq.est.regime(y, x, v.tau, vec.date, n.size)
print(result)

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