interval | R Documentation |
'interval()' computes confidence intervals for the break dates based on approximating the limiting distribution of the break date following the "shrinking shifts" asymptotic framework
interval(y, z, zbar, b, q, m, robust, prewhit, hetomega, hetq, x, p)
y |
matrix of dependent variable |
z |
matrix of independent variables with coefficients allowed to change across regimes |
zbar |
partitioned matrix of independent variables with coefficients allowed to change across regimes according to break date vector 'b' |
b |
vector of break breaks |
q |
number of 'z' regressors |
m |
maximum number of breaks |
robust |
set to |
prewhit |
Option of using prewhitening process. If |
hetomega , hetq |
options for assumptions of error terms structure. For more details, refers to [mdl()] |
x |
matrix of independent variables with coefficients constant across regimes |
p |
number of 'x' regressors |
bound Confidence intervals of break date in 90%
and 95%
significant level
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