estim {mbreaks} | R Documentation |
Structural change model estimation
Description
estim()
estimates the structural change model by OLS given specified vector of break dates
It also computes and reports confidence intervals for the
break dates based on asymptotic distributions of break date and
corrected standard errors of coefficients estimates given the structure of covariance matrix
for model errors by specifying error options robust
, hetomega
, hetq
, hetdat
and hetvar
Usage
estim(m, q, z, y, b, robust, prewhit, hetomega, hetq, x, p, hetdat, hetvar)
Arguments
m |
number of breaks |
q |
number of |
z |
matrix of regressors with coefficients are allowed to change across regimes |
y |
matrix of dependent variable |
b |
vector of break dates |
robust , hetomega , hetq , hetdat , hetvar |
options for assumptions on the error terms.
For more details, please refer to |
prewhit |
option to use prewhitening process based on AR(1) approximation |
x |
matrix of regressors with coefficients are constant across regimes |
p |
number of regressors x |
Value
A list containing the following components:
date List of estimated breaks
CI List of Confidence Intervals for each corresponding break
beta Estimated coefficients of the regression. The first (
m
+1)*q
are coefficients ofq
variablesz
that change across regimes. The lastp
are coefficients ofp
variablesx
that are constant across regimesSE Corrected standard errors for the coefficients' estimates