## S3 method for class 'breakpointsfull':
confint(object, parm = NULL, level = 0.95,
breaks = NULL, het.reg = TRUE, het.err = TRUE, vcov. = NULL, sandwich = TRUE, ...)
## S3 method for class 'confint.breakpoints':
lines(x, col = 2, angle = 90, length = 0.05,
code = 3, at = NULL, breakpoints = TRUE, ...)
"breakpointsfull"
as computed by
breakpoints
from a formula
.breaks
, only one of the two should be
specified.FALSE
the distribution of the regressors is assumed to be
homogeneous over the segments.FALSE
the distribution of the errors is assumed to be
homogeneous over the segments."lm"
.vcov.
the sandwich
estimator or only the middle part?"confint.breakpoints"
as returned by
confint
.arrows
.TRUE
vertical lines for the breakpoints
are drawn.The distribution function used for the computation of confidence intervals of breakpoints is given in Bai (1997). The procedure, in particular the usage of heterogeneous regressors and/or errors, is described in more detail in Bai & Perron (2003).
The breakpoints should be computed from a formula with breakpoints
,
then the confidence intervals for the breakpoints can be derived by
confint
and these can be visualized by lines
. For an
example see below.
Bai J., Perron P. (2003), Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, 18, 1-22.
breakpoints
## Nile data with one breakpoint: the annual flows drop in 1898
## because the first Ashwan dam was built
data("Nile")
plot(Nile)
## dating breaks
bp.nile <- breakpoints(Nile ~ 1)
ci.nile <- confint(bp.nile, breaks = 1)
lines(ci.nile)
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