pvdel: Covariance matrix of estimator delta construction

In RoDivinity/BP2003: Structural break estimation and testing procedure

Covariance matrix of estimator delta construction

Description

Covariance matrix of estimator delta construction

Usage

pvdel(y, z, i, q, bigT, b, prewhit, robust, x, p, withb, hetdat, hetvar)

Arguments

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

Value

vdel Covariance matrix of delta

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