Lags

Compute the lags for the mat.y time series matrix

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

Lags function

<dl><dt>mat.y</dt>
<dd>The matrix of time series</dd>
<dt>q</dt>
<dd>The lag chosen</dd></dl>

Arguments

Lags — Lags

<dl>

<dt>mat.y</dt>
<dd>The matrix of time series</dd>


<dt>q</dt>
<dd>The lag chosen</dd>

</dl>

Lags: Lags

Description

Usage

Value

Arguments

Examples