plambda

Function constructs a diagonal matrix of dimension (m+1) by (m+1) matrix
with i-th entry \(\frac{T_{i} - T_{i-1}}{ T}\)

Functions provide comprehensive treatments for estimating, inferring, testing and model selecting in linear regression models with structural breaks. The tests, estimation methods, inference and information criteria implemented are discussed in Bai and Perron (1998) "Estimating and Testing Linear Models with Multiple Structural Changes" <doi:10.2307/2998540>.

Linh Nguyen

mbreaks

Estimation and Inference for Structural Breaks in Linear
Regression Models

Yohei Yamamoto

Pierre Perron

plambda function

<dl><dt>b</dt>
<dd>Estimated date of changes</dd>
<dt>m</dt>
<dd>Number of breaks</dd>
<dt>bigT</dt>
<dd>The sample size T</dd></dl>

Arguments

Construct diagonal matrix according to break date — plambda

<dl>

<dt>b</dt>
<dd>Estimated date of changes</dd>


<dt>m</dt>
<dd>Number of breaks</dd>


<dt>bigT</dt>
<dd>The sample size T</dd>

</dl>

plambda: Construct diagonal matrix according to break date

Description

Usage

Value

Arguments