Message-ID: <1318613592753-3905669.post@n4.nabble.com>
Date: 2011-10-14T17:33:12Z
From: buehlerman
Subject: strucchange Nyblom-Hansen Test?
In-Reply-To: <alpine.DEB.2.02.1110091639090.1419@paninaro.uibk.ac.at>
Thanks a lot for your immediate help and detailed explanation!
About one thing I'm not quite clear:
When the default fit = glm in gefp() is used:
sctest(gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data =
longley, fit = lm), functional = meanL2BB)
is this then the original Nyblom's Parameter Stability Test (1989) or is it
the joint (Nyblom-)Hansen test with theta = (beta) constant instead of theta
= (beta, sigma^2) constant ?
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