[R] 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 de

Re: [R] strucchange Nyblom-Hansen Test?

Achim Zeileis-4 wrote > > > The reason for the various approaches is that efp() was always confined to > the linear model and gefp() then extended it to arbitrary estimating > function-based models. And for the linear model this provides the option > of treating the variance of a nuisance par

Re: [R] strucchange Nyblom-Hansen Test?

Thank you, things seem to be clearer :-) > Hansen extended this to the linear regression model and proposed to either > compute one test statistic per parameter (which you can do with the "parm" > argument of gefp) or a joint statistic for all parameters. Hansen included > in "all" parameters also

Re: [R] strucchange Nyblom-Hansen Test?

Thanks a lot for your immediate help and detailed explanation! About one thing I'm not quite clear: When the default fit = glm in gefp() is used: sctest(gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley, fit = lm), functional = meanL2BB) is this then the original Nyblom's

[R] 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