Displaying 20 results from an estimated 7000 matches similar to: "strucchange | weighted models"
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
2011 Oct 09
1
strucchange Nyblom-Hansen Test?
I want to apply Nyblom-Hansen test with the strucchange package, but I don't
know how is the correct way and what is the difference between the following
two approaches (leeding to different results):
data("longley")
# 1. Approach:
sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley,
type = "Nyblom-Hansen")
#results in:
# Score-based CUSUM
2006 Feb 15
1
S3 generics without NS and cleanEx()
Good morning,
we recently observed a problem with importing S3 generics from a foreign
package (without namespace), defining a S3 method in a package _with_
namespace and the `cleanEx()' function which is automatically generated
and executed before examples are run by R CMD check.
To be more precise. Package `strucchange' defines a S3 generic
sctest <- function(x, ...)
2012 May 29
1
strucchange Fstats() example
Dear all,
I'm trying to understand how the strucchange package is working and I have been looking at the examples given for the Fstats() function.
The first example (Nile), shows one peak in the F-stats and one breakpoint is estimated, that can be plotted using the following code
## Nile data with one breakpoint: the annual flows drop in 1898
## because the first Ashwan dam was built
2011 Aug 01
1
ivreg and structural change
Hello,
I am looking for some help with this question: how could I test structural
breaks in a instrumental variablesĀ“s model?
For example, I was trying to do something with my model with three time
series.
tax_ivreg <- ivreg(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2, -2)+
lag(l_x1, -1)+lag(l_x1, -2)+lag(l_y, -1)+lag(l_y, -2), data=tax1)
summary(tax_ivreg)
## after estimating it,
2011 Nov 02
1
nproc parameter in efpFunctional
Hello all,
could anyone explain the exact meaning of parameter nproc? Why different
values of nproc give so different critical values, i.e.
meanL2BB$computeCritval(0.05,nproc=3)
[1] 0.9984853
meanL2BB$computeCritval(0.05,nproc=1)
[1] 0.4594827
The strucchange-package description gives "integer specifying for which
number of processes Brownian motions should be simulated" - do I need
2005 Feb 18
2
Partial structural Change in STRUCCHANGE PACKAGE
Hi,
I am using the Strucchange package in R to test for structural change in regression coeffcient. Given a model y = b0 + b1*X + b2*Z, the Fstats test whether there is a change in both b1 and b2 over a time period.
Is there any way where I can restrict the test to hold b2 constant and test for break in only b1? That is, instead of a pure structural change, could I test for partial structural
2004 Nov 05
1
Error message from vignette strucchange-intro example
Hello,
I am just studying the following example from vignette:
strucchange-intro,
contineousely ending up in an error.
This is the given code:
1. library(strucchange)
2. data(USIncExp)
3. if (!"package:stats" %in% search()) library(ts)
4. USIncExp2 <- window(USIncExp, start = c(1985, 12))
A.Modelling:
coint.res <- residuals(lm(expenditure ~ income, data = USIncExp2))
2010 Sep 27
1
One-sided CUSUM / MOSUM Tests?
Dear R-help list members,
I have the following question concerning the strucchange()-package: is
it possible to get the boundaries for one-sided (upper / lower) CUSUM
and MOSUM tests?
Thank you in advance.
Julia
2004 Jun 29
1
strucchange-esque inference for glms ?
hello R-world,
according to the strucchange package .pdf, "all procedures in this package are
concerned with testing or assessing deviations from stability in the classical
linear regression model."
i'd like to test/assess deviations from stability in the Poisson model.
is there a way to modify the strucchange package to suit my purposes, or should
i use be using another
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
2004 Apr 14
7
trend turning points
Hi,
does anybody know of a nice test to detect trend turning points in time
series? Possibly with reference?
Thanks,
joerg
2012 Jun 19
1
STRUCCHANGE DETECTING BREAKPOINTS IN A TIME SERIES
HI
i'm trying to detect breaks points in various flow time series, they all
contains seasonality and trend
my question is :
i have to remove this seasonality and trend before apply the function
breakpoints du package strucchange??
another question, the function breakpoints is similar to de Pettit tests ?
or how does it realy works?
THANKS!!!!
DENISSE
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2013 Jan 20
3
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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2012 Feb 26
1
strucchange breakpoints (Bai and Perron, 1998, 2003)
If I try the breakpoints() function (strucchange package) with a minimum
segment size = the number of regressors, there appears the following error
message:
"minimum segment size must be greater than the number of regressors"
According to the documentation:
"breakpoints implements the algorithm described in Bai & Perron (2003) for
simultaneous estimation of multiple
2010 Jul 19
2
Help on R strucchange package
Hello,
Im using strucchange package in R software in order to apply Bai and
Peron (1998, 2003) structural break tests to a set of n=1671
observations with a constant term (no AR terms).
For that purpose I have read several papers, for instance Validating
Multiple Structural Change Models An Extended Case Study, in which
its aim is to replicate the results from Bai and Perron (2003) in R
2005 Feb 17
1
Multiple Fstats/breakpoints test using Panel data
Hi,
I have recently use the strucchange package in R with a single time series observation. I found it extremely useful in the testing of change points.
Now, I am thinking of using the strucchange package with panel data (about 500 firms, with 73 monthly time series observations each). For each firm, I have to conduct the Fstats and breakpoints tests. Based on the test of each firm, I have to
2009 Dec 22
1
strucchange | breakpoints - pure structural change model?
Dear R-Team,
Am I right supposing that the "breakpoints()" function in the strucchange
package is an implementation of the pure structural change model proposed
by Bai and Perron (1997, 2003)?
My question relates to a partial structural change model that Bai and
Perron formulate in their 2003 paper, e.g. formulated as
y = x' beta + z' delta_j + epsilon,
where beta and delta
2009 Jun 28
1
testing an ARFIMA model for structural breaks with unknown breakpoint
Dear R users,
I'm trying to use the "strucchange" package to determine structural breaks
in an ARFIMA model.
Unfortunately I'm not so familiar with this topic (and worse, I'm a beginner
in R), so I don't know exactly how to specify my model so that the
"Fstats","sctest" and "breakpoint" functions to recognize it and to
calculate the
2011 May 18
1
strucchange package Linux help
When I run the code below on Macintosh and Windows, the plot comes out
fine. However, on Linux, the png generated is invalid from R console,
and loading strucchange crashes rkward. Is this a known issue on Linux
and, if so, is there a workaround? Many thanks!
require(strucchange)
data("RealInt")
bp.ri <- breakpoints(RealInt~1, h=15)
summary(bp.ri)
fac.ri <- breakfactor(bp.ri,