estim: Structural change model estimation

In mbreaks: Estimation and Inference for Structural Breaks in Linear Regression Models

Structural change model estimation

Description

'estim()' estimates the structural change model by OLS given specified vector of break dates It also computes and reports confidence intervals for the break dates based on asymptotic distributions of break date and corrected standard errors of coefficients estimates given the structure of covariance matrix for model errors by specifying error options 'robust', 'hetomega', 'hetq', 'hetdat' and 'hetvar'

Usage

estim(m, q, z, y, b, robust, prewhit, hetomega, hetq, x, p, hetdat, hetvar)

Arguments

m	number of breaks
q	number of 'z' regressors z
z	matrix of regressors with coefficients are allowed to change across regimes
y	matrix of dependent variable
b	vector of break dates
robust, hetomega, hetq, hetdat, hetvar	options for assumptions on the error terms. For more details, please refer to mdl.
prewhit	option to use prewhitening process based on AR(1) approximation
x	matrix of regressors with coefficients are constant across regimes
p	number of regressors x

Value

A list containing the following components:

date

List of estimated breaks.

CI

List of Confidence Intervals for each corresponding break.

beta

Estimated coefficients of the regression. The first (m+1)*q are coefficients of q variables z that change across regimes. The last p are coefficients of p variables x that are constant across regimes.

SE

Corrected standard errors for the coefficients' estimates

mbreaks documentation built on April 3, 2025, 7:38 p.m.