rq.est.regime {QR.break} | R Documentation |
Regime-Specific Coefficients and Confidence Intervals Given Break Dates
Description
This function estimates the coefficients for each regime, given the break dates.
Usage
rq.est.regime(y, x, v.tau, vec.date, n.size = 1)
Arguments
y |
A vector of dependent variables ( |
x |
A matrix of regressors ( |
v.tau |
The quantile of interest. |
vec.date |
A vector of estimated break dates. |
n.size |
The cross-sectional sample size ( |
Value
A list containing the estimated coefficients for each regime.
Examples
## data
data(gdp)
y = gdp$gdp
x = gdp[,c("lag1", "lag2")]
## quantile
v.tau = 0.8
## break date
vec.date = 146
# cross-sectional size
n.size = 1
## estimation
result = rq.est.regime(y, x, v.tau, vec.date, n.size)
print(result)
[Package QR.break version 1.0.2 Index]