QR.break (version 1.0.1)

rq.est.full: Estimating Break Sizes and Confidence Intervals Given Break Dates

Description

This procedure estimates a linear quantile regression given a set of break dates. It is structured to compute break sizes between adjacent regimes and their confidence intervals.

Usage

rq.est.full(y, x, v.tau, vec.date, n.size = 1)

Value

An object from the quantile regression estimates, rq(), with structural breaks.

Arguments

y

A numeric vector of dependent variables (\(NT \times 1\)).

x

A numeric matrix of regressors (\(NT \times p\)).

v.tau

A numeric value representing the quantile of interest.

vec.date

A numeric vector of break dates, specified by the user.

n.size

An integer specifying the size of the cross-section (\(N\)).

References

Koenker, R. and G. Bassett Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33–50.

Oka, T. and Z. Qu (2011). Estimating Structural Changes in Regression Quantiles. Journal of Econometrics, 162(2), 248–267.

Examples

## data
data(gdp)
y = gdp$gdp
x = gdp[,c("lag1", "lag2")]

## quantile
v.tau = 0.8

## break date
vec.date = 146

# cross-sectional size
n.size = 1

## estimation
rq.est.full(y, x, v.tau, vec.date, n.size)