get_max_lambda {regsc} | R Documentation |
Calculate the the tuning parameter (lmax
) that yields no breaks. To ensure no breaks, one is advised to use 1.1*lmax
.
get_max_lambda(y,x,z=numeric(0))
y |
An |
x |
An |
z |
An optional n-by-q numeric matrix, the regressors with time-invariant effect on |
A positive number, the the tuning parameter (lmax
) that yields no breaks. To ensure no breaks, one is advised to use 1.1*lmax
.
Junhui Qian and Liangjun Su
Qian, J., L. Su, 2016, "Shrinkage estimation of regression models with multiple structural changes", Econometric Theory, 32 (6), 1376-1433.