ec.searchbreaks: search for breaks dates for given q (=1,2,3,4)

In cif: Cointegrated ICU Forecasting

search for breaks dates for given q (=1,2,3,4)

Description

Search for location of break points in 1st-stage of Engle-Granger

Usage

ec.searchbreaks(qse, ymat, npl, befpn, ndet, gfillmin = 10, fixed = NA)

Arguments

qse	q: number of (additional) breaks, s: start date for search, e: end date for search
ymat	matrix of lags
npl	n, p, nlag
befpn	begtrim, endtrim, nforecast, npred
ndet	order of the model d(i,j)
gfillmin	gfill value
fixed	vector of breaks to be taken as fixed (not between s=start and e=end)

Value

out list with break dates and values of regression average sum of squares

Author(s)

P. Paruolo

References

Berta et al. 2020

cif documentation built on March 18, 2022, 6:14 p.m.