ci.date.m {QR.break} | R Documentation |
Confidence Intervals for Break Dates
Description
This function constructs confidence intervals for break dates based on a single quantile or multiple quantiles (specified by the user).
Usage
ci.date.m(y, x, vec.tau, vec.date, n.size = 1, v.b = 2)
Arguments
y |
A numeric vector of dependent variables ( |
x |
A numeric matrix of regressors ( |
vec.tau |
A numeric vector of quantiles of interest. |
vec.date |
A numeric vector of estimated break dates. |
n.size |
An integer specifying the size of the cross section ( |
v.b |
A numeric value specifying the confidence level:
|
Value
A numeric matrix where:
The 1st column contains the break dates.
The 2nd and 3rd columns contain the lower and upper bounds of the confidence intervals, respectively.
References
Oka, T. and Z. Qu (2011). Estimating Structural Changes in Regression Quantiles. Journal of Econometrics, 162(2), 248–267.
Examples
# data
data(gdp)
y = gdp$gdp
x = gdp[,c("lag1", "lag2")]
# quantiles
vec.tau = 0.8
# break dates (point estimates)
vec.date = c(146, 200)
# Calculate confidence intervals for break dates
res = ci.date.m(y, x, vec.tau, vec.date, n.size = 1, v.b = 2)
print(res)