[R] strucchange Nyblom-Hansen Test?

buehlerman buehler.daniel at web.de
Fri Oct 14 19:33:12 CEST 2011


Thanks a lot for your immediate help and detailed explanation!

About one thing I'm not quite clear:

When the default fit = glm in gefp() is used:
sctest(gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data =
longley, fit = lm), functional = meanL2BB)

is this then the original Nyblom's Parameter Stability Test (1989) or is it
the joint (Nyblom-)Hansen test with theta = (beta) constant instead of theta
= (beta, sigma^2) constant ?

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