[R] Segmented (piecewise linear) regression/cointegration

Vito M. R. Muggeo vito.muggeo at unipa.it
Wed Mar 18 13:38:46 CET 2015

dear jpm,
segmented can't deal with I(1) regression.. However the segmented 
default method could be used on objects fitted by any function which 
fits I(1) *linear* regression,

Please contact me off list for details,

Il 18/03/2015 2.16, jpm miao ha scritto:
> Hi,
>     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.
> Thanks!
> 	[[alternative HTML version deleted]]
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Vito M.R. Muggeo
Dip.to Sc Statist e Matem `Vianelli'
Università di Palermo
viale delle Scienze, edificio 13
90128 Palermo - ITALY
tel: 091 23895240
fax: 091 485726

28th IWSM
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