Hi, If the relation between y and x is piecewise linear, the package "segmented" can be used to model it. It works pretty well. My situation is a little different: y and x are both I(1). Is there an R-package dealing with this situation? If not, is there an econometrics paper on this issue? Some papers deal with the case in which the relation between x and y changes at a certain time point, but my case is different- the relation between x and y changes when x exceeds some break point. Thanks! [[alternative HTML version deleted]]
Vito M. R. Muggeo
2015-Mar-18 12:38 UTC
[R] Segmented (piecewise linear) regression/cointegration
dear jpm, segmented can't deal with I(1) regression.. However the segmented default method could be used on objects fitted by any function which fits I(1) *linear* regression, Please contact me off list for details, best, vito Il 18/03/2015 2.16, jpm miao ha scritto:> Hi, > > If the relation between y and x is piecewise linear, the package > "segmented" can be used to model it. It works pretty well. > > My situation is a little different: y and x are both I(1). Is there an > R-package dealing with this situation? If not, is there an econometrics > paper on this issue? Some papers deal with the case in which the relation > between x and y changes at a certain time point, but my case is different- > the relation between x and y changes when x exceeds some break point. > > > > Thanks! > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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. >-- =============================================Vito M.R. Muggeo Dip.to Sc Statist e Matem `Vianelli' Universit? di Palermo viale delle Scienze, edificio 13 90128 Palermo - ITALY tel: 091 23895240 fax: 091 485726 http://dssm.unipa.it/vmuggeo 28th IWSM International Workshop on Statistical Modelling July 8-12, 2013, Palermo http://iwsm2013.unipa.it