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
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.
Maybe there's a better way.
Romain.
Le 18.02.2005 20:03, Yen H., Tong a écrit :
Hi,
I am using the Strucchange package in R to test for
On Fri, 18 Feb 2005 11:03:13 -0800 (PST) Yen H., Tong wrote:
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
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
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
