[R] strucchange | breakpoints - pure structural change model?
cheineme at zedat.fu-berlin.de
cheineme at zedat.fu-berlin.de
Tue Dec 22 19:54:51 CET 2009
Dear R-Team,
Am I right supposing that the "breakpoints()" function in the strucchange
package is an implementation of the pure structural change model proposed
by Bai and Perron (1997, 2003)?
My question relates to a partial structural change model that Bai and
Perron formulate in their 2003 paper, e.g. formulated as
y = x' beta + z' delta_j + epsilon,
where beta and delta are vectors of coefficients. x represents a vector of
variables with an invariant effect on y. z represents a vector of
variables, of which the effect on y is allowed to vary due to structural
breaks. j indicates the respective segments, which result from the
structural breaks.
As far as I understand, the "breakpoints()" function can only be used to
estimate equations where beta has dim (0x0), i.e. all coefficients are
subject to structural breaks (at the same time).
Is it possible to tell R that a certain variable is not subject to
structural breaks? Put differently, is there a way to estimate partial
structural change models using the strucchange package?
Thank you very much for your help (and for the greatest statistical
software, anyway).
Hans Christian
doctoral student, Freie Universität Berlin
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