plambda: Construct diagonal matrix according to break date

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

Construct diagonal matrix according to break date

Description

Function constructs a diagonal matrix of dimension (m+1) by (m+1) matrix with i-th entry \frac{T_{i} - T_{i-1}}{ T}

Usage

plambda(b, m, bigT)

Arguments

b	Estimated date of changes
m	Number of breaks
bigT	The sample size T

Value

lambda (m+1) by (m+1) diagonal matrix with i-th entry \frac{T_{i} - T_{i-1}}{ T}

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