RealInt {strucchange} | R Documentation |
US ex-post real interest rate: the three-month treasury bill deflated by the CPI inflation rate.
data(RealInt)
A quarterly time series from 1961(1) to 1986(3).
The data is available online in the data archive of the Journal of Applied Econometrics http://qed.econ.queensu.ca/jae/2003-v18.1/bai-perron/.
Bai J., Perron P. (2003), Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, 18, 1-22.
if("package:sandwich" %in% search() || require(sandwich)) { ## load and plot data data(RealInt) plot(RealInt) ## estimate breakpoints bp.ri <- breakpoints(RealInt ~ 1, h = 15) plot(bp.ri) summary(bp.ri) ## fit segmented model with three breaks fac.ri <- breakfactor(bp.ri, breaks = 3, label = "seg") fm.ri <- lm(RealInt ~ 0 + fac.ri) summary(fm.ri) ## setup kernel HAC estimator vcov.ri <- function(x, ...) kernHAC(x, kernel = "Quadratic Spectral", prewhite = 1, approx = "AR(1)", ...) ## Results from Table 1 in Bai & Perron (2003): ## coefficient estimates coef(bp.ri, breaks = 3) ## corresponding standard errors sapply(vcov(bp.ri, breaks = 3, vcov = vcov.ri), sqrt) ## breakpoints and confidence intervals confint(bp.ri, breaks = 3, vcov = vcov.ri) ## Visualization plot(RealInt) lines(as.vector(time(RealInt)), fitted(fm.ri), col = 4) lines(confint(bp.ri, breaks = 3, vcov = vcov.ri)) }