Beta

#Compute the matrix of parameters and the covariance
matrix of errors in OLS, FGLS, or IGLS mode.

Flexible implementation of a structural change point detection algorithm for multivariate time series.
It authorizes inclusion of trends, exogenous variables, and break test on the intercept or on the full vector autoregression system.
Bai, Lumsdaine, and Stock (1998) <doi:10.1111/1467-937X.00051>.

Loic Marechal

multibreakeR

Tests for a Structural Change in Multivariate Time Series

Beta function

<dl><dt>mat.z</dt>
<dd>A matrix object of time series, regressor matrix</dd>
<dt>mat.y.ex</dt>
<dd>A matrix object of time series, regressor matrix</dd>
<dt>n.eq</dt>
<dd>number of equations in the VAR</dd>
<dt>p</dt>
<dd>number of observations</dd>
<dt>est.mode</dt>
<dd>estimation mode: "OLS", "FGLS", or "IGLS"</dd>
<dt>iter</dt>
<dd>If "IGLS" is used, how many iterations before stopping</dd></dl>

Arguments

Beta — Beta

<dl>

<dt>mat.z</dt>
<dd>A matrix object of time series, regressor matrix</dd>


<dt>mat.y.ex</dt>
<dd>A matrix object of time series, regressor matrix</dd>


<dt>n.eq</dt>
<dd>number of equations in the VAR</dd>


<dt>p</dt>
<dd>number of observations</dd>


<dt>est.mode</dt>
<dd>estimation mode: "OLS", "FGLS", or "IGLS"</dd>


<dt>iter</dt>
<dd>If "IGLS" is used, how many iterations before stopping</dd>

</dl>

Beta: Beta

Description

Usage

Value

Arguments