diag_par: Diagonal partition given break dates

In RoDivinity/BP2003: Structural break estimation and testing procedure

Diagonal partition given break dates

Description

Function constructs the matrix of regressors z which coefficients are changed on the estimated break dates

Usage

diag_par(input, m, date)

Arguments

input	matrix of independent variables z with coefficients allowed to change overtime
m	number of breaks in the series
date	vector of estimated break dates

Value

output: matrix of partitioned variables corresponds to break dates

Examples

z = matrix(c(1:100),50,2)
m = 2  #2 breaks
date = matrix(c(15,30),2,1) #first break at t = 15; second break at t = 30
diag_par(z,m,date)

RoDivinity/BP2003 documentation built on Oct. 9, 2022, 9:33 a.m.