[R] Segmented (piecewise linear) regression/cointegration

jpm miao miaojpm at gmail.com
Wed Mar 18 02:16:08 CET 2015


   If the relation between y and x is piecewise linear, the package
"segmented" can be used to model it. It works pretty well.

   My situation is a little different: y and x are both I(1). Is there an
R-package dealing with this situation? If not, is there an econometrics
paper on this issue? Some papers deal with the case in which the relation
between x and y changes at a certain time point, but my case is different-
the relation between x and y changes when x exceeds some break point.


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