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
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
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