Hello, I am looking for some help with this question: how could I test structural breaks in a instrumental variables´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, something weird happened with the several tests in package "strucchange". For example: cusum <- efp(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, type="OLS-CUSUM") sctest(cusum) plot(cusum) coef(cusum, breaks=2) ## And: cusum <- efp(tax_ivreg, data=tax1, type="OLS-CUSUM") sctest(cusum) plot(cusum) coef(cusum, breaks=2) ## 1. The plot of the two above were very different and ## 2. When I ask for the breaks, instead of the dates, it returned me a line of the summary of the estimated "tax_ivreg" Any help would be very appreciated. Thanks Claudio -- http://www.shikida.net and http://works.bepress.com/claudio_shikida/ Esta mensagem pode conter informação confidencial e/ou privilegiada. Se você não for o destinatário ou a pessoa autorizada a receber esta mensagem, não poderá usar, copiar ou divulgar as informações nela contidas ou tomar qualquer ação baseada nessas informações. Se você recebeu esta mensagem por engano, por favor avise imediatamente o remetente, respondendo o presente e-mail e apague-o em seguida. This message may contain confidential and/or privileged ...{{dropped:9}}
______________________________________________ R-help@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.
