gets (version 0.2)

isatvar: Variance of the coefficient path

Description

Takes a 'gets' object returned by the isat function as input and returns the variance and standard errors of the constant on the coefficient path.

Usage

isatvar(x, ...)

Arguments

x

a 'gets' obtained with the isat function

...

additional arguments

Value

• A Tx2 matrix (with T = number of observations) where the first column denotes the variance, and the second column the standard errors of the intercept term.

Details

The function computes the variance and standard errors of the intercept term with structural breaks determined by isat. This permits hypothesis testing and plotting of confidence intervals for the intercept in the presence of structural breaks.

See Also

isat, coef.gets plot.gets

Examples

##Variance in presence of a break
nile <- as.zoo(Nile)
isat.nile <- isat(nile, sis=TRUE, iis=FALSE, plot=FALSE, t.pval=0.005)
var <- isatvar(isat.nile)

plot(nile)
lines(isat.nile$mean.fit, col="red")
lines(isat.nile$mean.fit + 2*var[,2], col="blue", lty=3)
lines(isat.nile$mean.fit - 2*var[,2], col="blue", lty=3)


##Variance when there is no break
set.seed(1)
x <- as.zoo(rnorm(100, 0, 1))
isat.x <- isat(x, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)
var.x <- isatvar(isat.x)

plot(x)
lines(isat.x$mean.fit, col="red")
lines(isat.x$mean.fit + 2*var.x[,2], col="blue", lty=3)
lines(isat.x$mean.fit - 2*var.x[,2], col="blue", lty=3)