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coef() now returns a named vector in the same order
and with the same names as vcov()
(e.g. regime1:y1:x); the per-regime tables remain in
summary().
New argument robust = c("none", "hc", "hac") in
sysbreak(), varbreak() and
netbreak() replaces the logical hac;
"hac" is the former hac = TRUE.
"hc" computes the robust SupF tests, coefficient standard
errors and break-date confidence intervals with a
heteroskedasticity-consistent covariance estimate without autocovariance
terms.
The automatic HAC bandwidth is capped at T / (2d), where d is the number of score columns, so that the HAC estimate does not become near singular in short segments.
The internal pseudo-inverse discards only numerically zero singular values (relative tolerance 1e-14 instead of the square root of machine epsilon). Results no longer depend on the units of the variables; the Application 1 estimates and statistics change (the dI-equation coefficients, and the GDP break from 1983:Q1 to 1982:Q4).
print(summary(fit)) has a new layout. The sequential
tests are labelled SEQ(l+1|l), as in Qu and Perron (2007),
also in the row names of summary(fit)$tests.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.