R help - Jan 2013 - strucchange breakpoints r-squared

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.

library(lmtest)
library(strucchange)

data <- ts(c(rnorm(30), runif(30)), frequency = 12, start = c(2005, 01))

bpts <- breakpoints(data ~ 1)

print(bpts)

summary(bpts)

coeftest(bpts)

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You can't.
You shouldn't.
Segmented regression with unknown breakpoints in nonlinear regression,
and R-squared doesn't make sense for nonlinear regression.

See:

https://stat.ethz.ch/pipermail/r-help/2002-July/023461.html

-- Bert

On Sun, Jan 20, 2013 at 3:05 PM, Geoffrey Smith <gps at asu.edu>
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.
>
> library(lmtest)
> library(strucchange)
>
> data <- ts(c(rnorm(30), runif(30)), frequency = 12, start = c(2005, 01))
>
> bpts <- breakpoints(data ~ 1)
>
> print(bpts)
>
> summary(bpts)
>
> coeftest(bpts)
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.


-- 

Bert Gunter
Genentech Nonclinical Biostatistics

Internal Contact Info:
Phone: 467-7374
Website:
http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm

On Jan 20, 2013, at 3:05 PM, 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.
>
> library(lmtest)
> library(strucchange)
>
> data <- ts(c(rnorm(30), runif(30)), frequency = 12, start = c(2005,  
> 01))
>
> bpts <- breakpoints(data ~ 1)
>
> print(bpts)
>
> summary(bpts)
>
> coeftest(bpts)
The authors of that package do provide some summary statistics that  
might be of interest. You can get the residual sums of squares:

summary(bpts)$RSS

You should also look at

?logLik.breakpoints

As Bert points out this is not an ordinary linear problem.

-- 

David Winsemius, MD
Alameda, CA, USA

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.
>
> library(lmtest)
> library(strucchange)
>
> 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:

var(fitted(bpts))/var(data)

Alternatively, you can fit a segmented linear regression with lm() by 
using the factor coding the segments and then extract the R-squared as 
usual:

m <- lm(data ~ breakfactor(bpts))
summary(m)$r.squared

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.

Best,
Z
> print(bpts)
>
> summary(bpts)
>
> coeftest(bpts)
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>