psigmq {mbreaks}

Construct diagonal matrix of estimated variance

Description

Function computes a diagonal matrix of dimension m+1 by m+1 with i-th entry is the estimated variance of residuals of segment i

Usage

psigmq(res, b, q, m, nt)

Arguments

res

big residual vector of the model

b

Estimated date of changes

q

Number of z regressors

m

Number of breaks

nt

The size of z regressors

Value

sigmat (m+1)x(m+1) diagonal matrix with i-th entry equal to estimated variance of regime i