estim: Estimation procedure

In RoDivinity/BP2003: Structural break estimation and testing procedure

Estimation procedure

Description

Function to estimate the model by OLS given the obtained break dates It also computes and reports confidence intervals for the break dates and corrected standard errors of coefficients estimates The method used depends on specification for robustness

Usage

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

Arguments

m	number of break
q	number of regressors z
z	matrix of regressor z with coefficients are allowed to change across regimes
b	break dates
prewhit	option to use prewhitening process based on AR(1) approximation
hetomega, hetq, hetdat, hetvar	options for assumptions on the error terms
x	matrix of regressor x 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 of the corresponding coefficients

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