Displaying 5 results from an estimated 5 matches for "recresid".
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decresed
2005 Jul 28
1
Forcing coefficents in lm(), recursive residuals, etc.
Hello all,
Does anyone know how to constrain/force specific coefficients when running
lm()?
I need to run recresid() {strucchange package} on the residuals of
forecast.lm, but forecast.lm's coefficients must be determined by
parameter.estimation.lm
I could estimate forecast.lm without lm() and use some other kind of
optimisation, but recresid() requires an object with class lm. recresid()
allows you t...
2009 Oct 30
1
R strucchange question: recursive-based CUSUM
Hello R users:
I'm trying now to apply the package strucchange to see whether there is
a structural change in linear regression. I have noted the following
problem that arises in my case with recursive-based CUSUM: generic
function recresid() in efp() generates an error, since (probably) it
cannot compute the inverse matrix of (X^(i-1)^T)*(X^(i-1)) at each step
(i-1), because the matrix (X^(i-1)^T)*(X^(i-1)) does not have full rank
for all i (X consists of dummy variables). Does any solution of this
problem exist (for example, to...
2004 Sep 15
1
adding observations to lm for fast recursive residuals?
...i have been looking but failed to find the
following: is there a function in R that updates a plain OLS lm()
model with one additional observation, so that I can write a function
that computes recursive residuals *quickly*?
PS: (I looked at package strucchange, but if I am not mistaken, the
recresid function there takes longer than iterating over the models
fresh from start to end.) I know the two functions do not do the same
thing, but the main part (OLS) is the same:
> handrecurse.test <- function( y, x ) { z<- rep(NA, T); for (i in
2:T) { z[i] <- coef(lm(y[1:i] ~ x[1:i])...
2011 Jul 29
2
'breackpoints' (package 'strucchange'): 2 blocking error messages when using for multiple regression model testing
Good morning to all,
I am encountering a blocking issue when using the function 'breackpoints'
from package 'strucchange'.
*Context:*
I use a data frame, 248 observations of 5 variables, no NA.
I compute a linear model, as y~x1+...+x4
x4 is a dummy variable (0 or 1).
I want to check this model for structural changes.
*Process & issues:*
*First, I used function Fstats.* It
2005 Jan 11
1
CUSUM SQUARED structural breaks approach?
Dear all,
Does anyone know where there is R or S code for the CUSUM SQUARED
structural breaks approach? (Brown, Durban and Evans, 1975 - used in
Pesaran and Timmerman, 2002)
The problem is that the breaks package only appears to offer the
standard 'unsquared' CUSUM, even though it appears most think it is
inferior to the squared version. It might appear to be a relatively
simple