similar to: OS-dependent behaviour of strucchange?

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

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

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

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

Greetings - Am hoping to use the strucchange package to look for structural breaks in some messy regression data. A series of preliminary analyses indicate that BLUE for these data will involve some weighting the data (estimates of a particular population parameter) by a function of the variance of the estimate (say, inverse of the variance). While I've gone through the docs for

Hi, I am new to R. It would be kind if I could get some help on this. I am using R to estimate Fstats but I am getting following error. a3 is annual GDP data from 1951 to 2010. > fs<- Fstats(ecm.model, from=1954, to = 1975,data=a3) Error in Fstats(ecm.model, from = 1954, to = 1975, data = a3) : inadmissable change points: 'from' is larger than 'to' In addition: Warning

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

Greetings, I'm complety new to "R" and have a question. I've read through a couple of manuals but I'm having a problem with getting something run properly. I'd like to attempt to use the "strucchange" package with some sample data however I'm having trouble understanding the proper syntax of the commands from which to do so. I basically want to take

Dear useRs, the strucchange package for testing for structural change has been updated: the current version is 1.2-4. The most significant additions were two functions gefp() and efpFunctional(). gefp() implements a class of generalized M-fluctuation tests for testing for parameter instability or structural change in general parametric models including generalized linear models (GLMs).

Dear useRs, the strucchange package for testing for structural change has been updated: the current version is 1.2-4. The most significant additions were two functions gefp() and efpFunctional(). gefp() implements a class of generalized M-fluctuation tests for testing for parameter instability or structural change in general parametric models including generalized linear models (GLMs).

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 -- View this message in context:

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

Hi Achim, I'd like to try to run the strucchange package on R. However, it seems that the package can only run on systems running Debian and not Windows XP. Is this true? Or is there a windows version? I downloaded the strucchange file but they seem to have the dot deb extension and seem to be designed to run with Debian. If there is a windows version, could you please let me know how to

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,

There is a new package in the devel-section of CRAN called 'strucchange' providing functions for testing on structural change in linear regression relationships. It features tests/methods from the generalized fluctuation test framework as well as from the F test (Chow test) framework. This includes methods to fit, plot and test fluctuation processes (e.g., CUSUM, MOSUM, recursive/moving

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

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))

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

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

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