[R] R strucchange question: recursive-based CUSUM

Julia Bondarenko bonda at hsuhh.de
Fri Oct 30 13:49:56 CET 2009


Hello R users:

I'm trying now to apply the package strucchange to see whether there is 
a structural change in linear regression. I have noted the following 
problem that arises in my case with recursive-based CUSUM: generic 
function recresid() in efp() generates an error, since (probably) it 
cannot compute the inverse matrix of (X^(i-1)^T)*(X^(i-1)) at each step 
(i-1), because the  matrix (X^(i-1)^T)*(X^(i-1)) does not have full rank 
for all i (X consists of dummy variables). Does any solution of this 
problem exist (for example, to replace the ordinary inverse by the 
generalised inverse, ginv())?

Thank you in advance for your help!

Julia




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