Message-ID: <4A0A0C3B.1060300@cornell.edu>
Date: 2009-05-12T23:54:35Z
From: Evan Cooch
Subject: strucchange | weighted models
Greetings -
Am hoping to use the strucchange package to look for structural breaks
in some messy regression data. A series of preliminary analyses indicate
that BLUE for these data will involve some weighting the data (estimates
of a particular population parameter) by a function of the variance of
the estimate (say, inverse of the variance). While I've gone through the
docs for strucchange (which are excellent, btw), I don't see a simple
(or obvious) way to apply some sort of 'weighting' to the regressions
implemented in the package. Short of diving into source (which I could
do, but I'm not sure how the various tests would be impacted by
weighting of any sort), was wondering if anyone had dealt with this sort
of issue - either with strucchange, or some other approach/package?
Thanks in advance...