\inputencoding{latin1}
\HeaderA{confint.fxregimes}{Confidence Intervals for Breaks Between Exchange Rate Regimes}{confint.fxregimes}
\aliasA{breakddates.confint.fxregimes}{confint.fxregimes}{breakddates.confint.fxregimes}
\aliasA{lines.confint.fxregimes}{confint.fxregimes}{lines.confint.fxregimes}
\aliasA{print.confint.fxregimes}{confint.fxregimes}{print.confint.fxregimes}
\keyword{regression}{confint.fxregimes}
\begin{Description}\relax
Confidence intervals for estimated changes/breaks between exchange rate regimes.
\end{Description}
\begin{Usage}
\begin{verbatim}
## S3 method for class 'fxregimes':
confint(object, parm = NULL, level = 0.95, breaks = NULL, meat. = NULL, ...)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{object}] An object of class \code{"fxregimes"} as fitted by \code{\LinkA{fxregimes}{fxregimes}}.
\item[\code{parm}] integer. Either \code{parm} or \code{breaks} may be set, see below.
\item[\code{level}] numeric. The confidence level to be used.
\item[\code{breaks}] integer. The number of breaks to be extracted from \code{object} for
which confidence intervals should be computed.
\item[\code{meat.}] function. A function for extracting the meat of a sandwich estimator
from a \code{\LinkA{fxlm}{fxlm}} object. By default, the inverse of
\code{\LinkA{bread}{bread}} is used, i.e., a correctly specified model is assumed.
\item[\code{...}] currently not used.
\end{ldescription}
\end{Arguments}
\begin{Details}\relax
As the breakpoints are integers (observation numbers) the corresponding
confidence intervals are also rounded to integers. The algorithm used
is essentially the same as described for \code{\LinkA{confint.breakpointsfull}{confint.breakpointsfull}}.
The same distribution function is used, just the variance components are
computed differently. Here, \code{\LinkA{bread}{bread}} and 
\code{\LinkA{meat}{meat}} (or some of its HC/HAC counterparts) are
used. See Zeileis, Shah, Patnaik (2008) for more details.
\end{Details}
\begin{Value}
An object of class \code{"confint.fxregimes"}.
\end{Value}
\begin{References}\relax
Zeileis A., Kleiber C., Krämer W., Hornik K. (2003), Testing and Dating of
Structural Changes in Practice, \emph{Computational Statistics and Data Analysis},
\bold{44}, 109-123.

Zeileis A., Shah A., Patnaik I. (2008), Testing, Monitoring, and Dating Structural
Changes in Maximum Likelihood Models, Report 70, Department of Statistics
and Mathematics, Wirtschaftsuniversitaet Wien, Research Report Series,
August 2008.
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{fxregimes}{fxregimes}}, \code{\LinkA{refit}{refit}},
\code{\LinkA{fxlm}{fxlm}}, \code{\LinkA{confint.breakpointsfull}{confint.breakpointsfull}}
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
## load package and data
library("fxregime")
data("FXRatesCHF", package = "fxregime")

## compute returns for CNY (and explanatory currencies)
## for one year after abolishing fixed USD regime
cny <- fxreturns("CNY", frequency = "daily",
  start = as.Date("2005-07-25"), end = as.Date("2006-07-24"),
  other = c("USD", "JPY", "EUR", "GBP"))

## compute all segmented regression with minimal segment size of
## h = 20 and maximal number of breaks = 5.
reg <- fxregimes(CNY ~ USD + JPY + EUR + GBP,
  data = cny, h = 20, breaks = 5, ic = "BIC")
summary(reg)

## minimum BIC is attained for 2-segment (1-break) model
plot(reg)

## two regimes
## 1: tight USD peg
## 2: slightly more relaxed USD peg
round(coef(reg), digits = 3)
sqrt(coef(reg)[, "(Variance)"])

## inspect associated confidence intervals
ci <- confint(reg, level = 0.9)
ci
breakdates(ci)

## plot LM statistics along with confidence interval
fm <- fxlm(CNY ~ USD + JPY + EUR + GBP, data = cny)
scus <- gefp(fm, fit = NULL)
plot(scus, functional = supLM(0.1))
lines(ci)
\end{ExampleCode}
\end{Examples}

