psigmq: Construct diagonal matrix of estimated variance

In RoDivinity/BP2003: Structural break estimation and testing procedure

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
m	Number of breaks
nt	The sample size

Value

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

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