get_max_lambda {regsc}R Documentation

The the tuning parameter that yields no breaks

Description

Calculate the the tuning parameter (lmax) that yields no breaks. To ensure no breaks, one is advised to use 1.1*lmax.

Usage

get_max_lambda(y,x,z=numeric(0))

Arguments

y

An n-by-1 numeric matrix (vector), the dependent variable

x

An n-by-p numeric matrix, the regressors with possibly time-varying effect on y

z

An optional n-by-q numeric matrix, the regressors with time-invariant effect on y

Value

A positive number, the the tuning parameter (lmax) that yields no breaks. To ensure no breaks, one is advised to use 1.1*lmax.

Author(s)

Junhui Qian and Liangjun Su

References

Qian, J., L. Su, 2016, "Shrinkage estimation of regression models with multiple structural changes", Econometric Theory, 32 (6), 1376-1433.


[Package regsc version 0.3 Index]