strucchange breakpoints r-squared
On Jan 20, 2013, at 3:05 PM, Geoffrey Smith wrote:
Can anyone please tell me how to get the r-squared output from a piecewise (segmented) regression using the strucchange package? Here is the R code I have tried thus far. library(lmtest) library(strucchange) data <- ts(c(rnorm(30), runif(30)), frequency = 12, start = c(2005, 01)) bpts <- breakpoints(data ~ 1) print(bpts) summary(bpts) coeftest(bpts)
The authors of that package do provide some summary statistics that might be of interest. You can get the residual sums of squares: summary(bpts)$RSS You should also look at ?logLik.breakpoints As Bert points out this is not an ordinary linear problem.
David Winsemius, MD Alameda, CA, USA