interval {mbreaks}

Estimatd break confidence interval

Description

interval() computes confidence intervals for the break dates based on approximating the limiting distribution of the break date following the "shrinking shifts" asymptotic framework

Usage

interval(y, z, zbar, b, q, m, robust, prewhit, hetomega, hetq, x, p)

Arguments

y

matrix of dependent variable

z

matrix of independent variables with coefficients allowed to change across regimes

zbar

partitioned matrix of independent variables with coefficients allowed to change across regimes according to break date vector b

b

vector of break breaks

q

number of z regressors

m

maximum number of breaks

robust

set to 1 to allow for heterogeneity and autocorrelation in the residuals, 0 otherwise. The method used is Andrews(1991) automatic bandwidth with AR(1) approximation with quadratic kernel. Note: Do not set to 1 if lagged dependent variables are included as regressors.

prewhit

Option of using prewhitening process. If 1, an AR(1) process will be used to filter. If 0, skipped the filtering process

hetomega, hetq

options for assumptions of error terms structure. For more details, refers to mdl()

x

matrix of independent variables with coefficients constant across regimes

p

number of x regressors

Value

bound Confidence intervals of break date in 90% and 95% significant level