breakpoint.est: Breakpoint estimation

In ottosven/backCUSUM: Backward CUSUM for Testing and Monitoring Structural Change

Breakpoint estimation

Description

Breakpoint estimation

Usage

breakpoint.est(formula, type = c("BQ", "ML"), H = NULL)

Arguments

formula	Specification of the linear regression model by an object of the class "formula"
type	A character string specifying the breakpoint estimator type; must be one of "BQ" (backward CUSUM estimator, default) or "ML" (maximum likelihood estimator).
H	An optional matrix for the partial hypothesis H'β_t = H'β_0, where H'Q_t is considered instead of Q_t. H must have orthonormal columns. For a test for a break in the intercept, H can also set to the string "intercept". The full structural break test is considered as the default setting (NULL).

Value

The estimated location of the breakpoint

Examples

T <- 100
u <- rnorm(T,0,1)
y <- 2 + c(rep(0,95), rep(0.8,5)) + u
breakpoint.est(y~1)
breakpoint.est(y~1, type = "ML")

ottosven/backCUSUM documentation built on April 12, 2022, 10:59 p.m.