coint.conf.sets: Confidence sets for the break date in cointegrating...

In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

Confidence sets for the break date in cointegrating regressions

Description

This procedure is to construct a confidence set for the change point in cointegrating regressions.

Usage

coint.conf.sets(
  y,
  trend = FALSE,
  zb = NULL,
  zf = NULL,
  z.lead = NULL,
  z.lag = NULL,
  conf.level = 0.9,
  trim = 0.05,
  criterion = "bic"
)

Arguments

y	A time series of interest.
trend	Whether the trend is to be included.
zb	I(1) regressors with break.
zf	I(1) regressors without break.
z.lead, z.lag	Number of leads and lags of z regressors. If any is NULL then both are estimated using informational criterion.
conf.level	Confidence level to obtain appropriate critical values.
trim	The trimming parameter to find the lower and upper bounds of possible break date.
criterion	A criterion for lead and lag number estimation.

Value

A list of confidence sets.

References

Kurozumi, Eiji, and Anton Skrobotov. “Confidence Sets for the Break Date in Cointegrating Regressions.” Oxford Bulletin of Economics and Statistics 80, no. 3 (2018): 514–35. https://doi.org/10.1111/obes.12223.

d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.