[R] strucchange Nyblom-Hansen Test?

[Achim Zeileis]

On Thu, 16 Feb 2012, buehlerman wrote:

> Achim Zeileis-4 wrote
>>
>>
>> The reason for the various approaches is that efp() was always confined to
>> the linear model and gefp() then extended it to arbitrary estimating
>> function-based models. And for the linear model this provides the option
>> of treating the variance of a nuisance parameter or a full model
>> parameter.
>
> I'm not sure, if my understanding of treating the variance as a nuisance
> parameter (in the Nyblom-Hansen test) is right.
>
> The main interest of my analysis relies on the stability of regression 
> coefficients (and not of the variance). Is it therefore prefereable to 
> treat the variance as a nuisance parameter rather than a full model 
> parameter?

Yes.

In that case the variance is estimated to carry out the tests, but the 
stability of the variance itself is not assessed.

Best,
Z

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