[R] Partial structural Change in STRUCCHANGE PACKAGE

Yen H., Tong yhtong at u.washington.edu
Fri Feb 18 20:53:25 CET 2005


Hi,

Thanks for all the thoughtful replies.  Let me think on this further.

Warm Regards,

Yen




On Fri, 18 Feb 2005, Achim Zeileis wrote:

> On Fri, 18 Feb 2005 20:14:23 +0100 Romain Francois wrote:
>
>> Hello,
>>
>> one way could be to compute the residuals of the regression y=b0 +
>> b2*Z, let's call them U, and then test the structural change on the
>> model U=c0+c1*X.
>
> The approach of Andrews (1993, Econometrica) would be preferrable where
> you explicitely estimate partially segmented models with a breakpoint
> shifted across the sample period. This woul usually lead to a varying
> coefficient of Z as well.
> But as I explained in my previous mail, this is not currently
> implemented in strucchange.
>
>> Maybe there's a better way.
>
> Personally, if I really believed in a partial change model, I would
> compute a statistic (supLM, Cramer-von Mises, maximum, etc.) from the
> corresponding cumulative score process(es) computed by gefp().
> Z
>
>> Romain.
>>
>> Le 18.02.2005 20:03, Yen H., Tong a écrit :
>>
>>> Hi,
>>>
>>> I am using the Strucchange package in R to test for structural
>>> change in regression coeffcient.  Given a model y = b0 + b1*X +
>>> b2*Z, the Fstats test whether there is a change in both b1 and b2
>>> over a time period.
>>>
>>> Is there any way where I can restrict the test to hold b2 constant
>>> and test for break in only b1?  That is, instead of a pure
>>> structural change, could I test for partial structural change in
>>> only one of the coefficient estimate?
>>>
>>> Warm Regards,
>>>
>>> Yen
>>
>> --
>> Romain FRANCOIS : francoisromain at free.fr
>> page web : http://addictedtor.free.fr/  (en construction)
>> 06 18 39 14 69 / 01 46 80 65 60
>> _______________________________________________________
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>>
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