[R] strucchange | weighted models

[Achim Zeileis]

On Tue, 12 May 2009, f.query wrote:

> Greetings -
>
> Am hoping to use the strucchange package to look for structural breaks in 
> some messy regression data. A series of preliminary analyses indicate that 
> BLUE for these data will involve some weighting the data (estimates of a 
> particular population parameter) by a function of the variance of the 
> estimate (say, inverse of the variance). While I've gone through the docs for 
> strucchange (which are excellent, btw),

Thanks!

> I don't see a simple (or obvious) way 
> to apply some sort of 'weighting' to the regressions implemented in the 
> package.

I think there isn't in the "old" efp()/Fstats()/breakpoints() part, then 
there is no easy way. But int the "new" gefp() function you can use 
weights. If you want to do breakpoints estimation, I've got some modified 
code which is not included in the package...let me know if you need it.

hth,
Z

> Short of diving into source (which I could do, but I'm not sure how 
> the various tests would be impacted by weighting of any sort), was wondering 
> if anyone had dealt with this sort of issue - either with strucchange, or 
> some other approach/package?
>
> Thanks in advance...
>
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