[R] Partial structural Change in STRUCCHANGE PACKAGE

[Achim Zeileis]

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 : francoisromain at free.fr
> page web : http://addictedtor.free.fr/  (en construction)
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