[R] how to do piecewise linear regression in R?

[Petr PIKAL]

Hi

Your post is rather screwed.

> 
> [R] how to do piecewise linear regression in R?

Maybe segmented?

Regards
Petr

> 
> 
> Dear all,
> I want to do piecewise CAPM linear regression in R:
> RRiskArb−Rf  = (1−δ)[αMktLow+βMktLow(RMkt−Rf)]  +  δ[αMkt 
High 
> +βMkt High(RMkt −Rf )]
> 
> where δ is a dummy variable if the excess return on the value-weighted 
> CRSP index is above a threshold level and zero otherwise. and at the 
same 
> time add the restriction:
> 
> αMkt Low + βMkt Low · Threshold = αMkt High + βMkt High · 
Threshold
> to ensure continuity.
> But I do not know how to add this restriction in R, could you help me on 
this?
> Thanks a lot!
> Eunice 
>    [[alternative HTML version deleted]]
> 
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