Vdistr

Computes the critical values for a vector of confidence intervals proposed (ci)

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

Vdistr function

<dl><dt>ci</dt>
<dd>A vector of confidence intervals</dd></dl>

Arguments

Vdistr — Vdistr

<dl>

<dt>ci</dt>
<dd>A vector of confidence intervals</dd>

</dl>

Vdistr: Vdistr

Description

Usage

Value

Arguments

Examples