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
estim(m, q, z, y, b, robust, prewhit, hetomega, hetq, x, p, hetdat, hetvar)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 of q variables z that change across regimes.
The last p are coefficients of p variables x
that are constant across regimes
SE Corrected standard errors for the coefficients' estimates
number of breaks
number of z regressors z
matrix of regressors with coefficients are allowed to change across regimes
matrix of dependent variable
vector of break dates
options for assumptions on the error terms.
For more details, please refer to mdl().
option to use prewhitening process based on AR(1) approximation
matrix of regressors with coefficients are constant across regimes
number of regressors x