[R] Partial structural Change in STRUCCHANGE PACKAGE

[Yen H., Tong]

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 change in only one of the coefficient estimate?
Warm Regards,
Yen
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Re: [R] Partial structural Change in STRUCCHANGE PACKAGE

[Yen H., Tong]

Hi,
Thanks for all the thoughtful replies.  Let me think on this further.
Warm Regards,
Yen

On Fri, 18 Feb 2005, Achim Zeileis wrote:
On Fri, 18 Feb 2005 20:14:23 +0100 Romain Francois wrote:
Hello,
one way could be to compute the residuals of the regression y=b0 +
b2*Z, let's call them U, and then test the structural change on the
model U=c0+c1*X.
The approach of Andrews (1993, Econometrica) would be preferrable where
you explicitely estimate partially segmented models with a breakpoint
shifted across the sample period. This woul usually lead to a varying
coefficient of Z as well.
But as I explained in my previous mail, this is not currently
implemented in strucchange.
Maybe there's a better way.
Personally, if I really believed in a partial change model, I would
compute a statistic (supLM, Cramer-von Mises, maximum, etc.) from the
corresponding cumulative score process(es) computed by gefp().
Z
Romain.
Le 18.02.2005 20:03, Yen H., Tong a écrit :
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 change in
only one of the coefficient estimate?
Warm Regards,
Yen
--
Romain FRANCOIS : [EMAIL PROTECTED]
page web : http://addictedtor.free.fr/  (en construction)
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[R] Multiple Fstats/breakpoints test using Panel data

[Yen H., Tong]

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 output a table/histogram with the number of times each SupF test is  
significant and the frequency that a breakpoint is observed in each of the 73 
months.  In summary, I have to conduct the Fstats/breakpoint test 500 times and 
summarize the results.  I have the 500 firms with 73 observations (approx 
36,500 observations) stacked in one data file.
Is there anyone who can help mw with this?
Warm Regards,
Yen
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