interval: Break interval Function computes confidence intervals for the...

In RoDivinity/BP2003: Structural break estimation and testing procedure

Break interval Function computes confidence intervals for the break dates

Description

Function to compute confidence intervals for the break dates based on the "shrinking shifts" asymptotic framework

Usage

interval(y, z, zbar, b, q, m, robust, prewhit, hetomega, hetq, x, p)

Arguments

y	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
b	vector of estimated dates of breaks
q	number of regressors z
m	maximum number of breaks
robust, withb, hetdat, hetvar	options for assumptions of error terms structure
prewhit	Option of using prewhitening process. If 1, an AR(1) process will be used to filter. If 0, skipped the filtering process
x	matrix of independent variables with coefficients constant across regimes
p	number x regressors
bigT	sample period T

Value

bound Confidence intervals of break date in 90% and 95% significant level

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