[R] strucchange breakpoints r-squared
Achim.Zeileis at uibk.ac.at
Mon Jan 21 08:47:03 CET 2013
On Sun, 20 Jan 2013, Geoffrey Smith wrote:
> Can anyone please tell me how to get the r-squared output from a
> piecewise (segmented) regression using the strucchange package? Here is
> the R code I have tried thus far.
> data <- ts(c(rnorm(30), runif(30)), frequency = 12, start = c(2005, 01))
> bpts <- breakpoints(data ~ 1)
You can rather easily compute the R-squared by hand:
Alternatively, you can fit a segmented linear regression with lm() by
using the factor coding the segments and then extract the R-squared as
m <- lm(data ~ breakfactor(bpts))
Finally, the R-squared is just a simple transformation of the residual sum
of squares. Hence, you can also compute it via
1 - summary(bpts)$RSS[1,-1] / summary(bpts)$RSS[1,1]
Personally, I prefer to either look at RSS directly or at penalized
measures such as BIC/AIC, which is why RSS/BIC are included in summaries
and plots and R-squared is not.
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