regsc_rt {regsc} | R Documentation |
Estimate the regression with structural changes, using a rule of thumb to determine the tuning parameter on the group-fused-Lasso penalty.
regsc_rt(y,x,z=numeric(0),h=1,weight=rep(1,length(y)-1),XTol=1e-6,maxIter=1000)
y |
An |
x |
An |
z |
An optional n-by-q numeric matrix, the regressors with time-invariant effect on |
h |
An optional positive number, used in the determination of break dates. |
weight |
An optional |
XTol |
An optional small number, the level of error tolerance |
maxIter |
An optional integer, the maximum number of iterations allowed |
A list containing the following components:
regime |
a |
alpha |
a |
Sigma |
the estimated covariance matrix for |
ssr |
the sum of squared residuals |
R2 |
the overall goodness-of-fit |
resid |
an |
lambda |
the tuning parameter selected either by the information criterion (Qian & Su, 2016) or the rule of thumb |
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.