psigmq: Construct diagonal matrix of estimated variance

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

Construct diagonal matrix of estimated variance

Description

Function computes a diagonal matrix of dimension m+1 by m+1 with i-th entry is the estimated variance of residuals of segment i

Usage

psigmq(res, b, q, m, nt)

Arguments

res	big residual vector of the model
b	Estimated date of changes
q	Number of 'z' regressors
m	Number of breaks
nt	The size of 'z' regressors

Value

sigmat ('m'+1)x('m'+1) diagonal matrix with i-th entry equal to estimated variance of regime i

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