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ivreg and structural change
2 messages · Claudio Shikida (敷田治誠 クラウジオ), Achim Zeileis
On Mon, 1 Aug 2011, Claudio Shikida (??????????) wrote:
Hello, I am looking for some help with this question: how could I test structural breaks in a instrumental variables?s model?
In principle, most of tests used in the standard linear regression model can also be transferred to the IV case. However, many of the functions in "strucchange" do not do this. A notable exception is the function gefp(), see its manual page for references. This allows you to do something like gefp(y ~ x1 + x2 | z1 + z2, fit = ivreg, data = d) etc.
For example, I was trying to do something with my model with three time series. tax_ivreg <- ivreg(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2, -2)+ lag(l_x1, -1)+lag(l_x1, -2)+lag(l_y, -1)+lag(l_y, -2), data=tax1) summary(tax_ivreg)
I guess that this does not do what you want it to do. I would guess that this essentially yields a standard linear regression because the lag() is not correctly processed. If you want to use ivreg(), you need to set up the lagged variables by hand in advance. Alternatively, you can use dynlm() from the "dynlm" package which allows you to use lag() or the simpler L() function in the formula together with "zoo" data. For an example, how to set up the lagged variables by hand, you can look at the manual page of breakpoints(), especially the seatbelt data example. hth, Z
## after estimating it, something weird happened with the several tests in package "strucchange". For example: cusum <- efp(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2, -2)+ lag(l_x1, -1)+lag(l_x1, -2)+lag(l_y, -1)+lag(l_y, -2), data=tax1, type="OLS-CUSUM") sctest(cusum) plot(cusum) coef(cusum, breaks=2) ## And: cusum <- efp(tax_ivreg, data=tax1, type="OLS-CUSUM") sctest(cusum) plot(cusum) coef(cusum, breaks=2) ## 1. The plot of the two above were very different and ## 2. When I ask for the breaks, instead of the dates, it returned me a line of the summary of the estimated "tax_ivreg" Any help would be very appreciated. Thanks Claudio -- http://www.shikida.net and http://works.bepress.com/claudio_shikida/ Esta mensagem pode conter informa??o confidencial e/ou privilegiada. Se voc? n?o for o destinat?rio ou a pessoa autorizada a receber esta mensagem, n?o poder? usar, copiar ou divulgar as informa??es nela contidas ou tomar qualquer a??o baseada nessas informa??es. Se voc? recebeu esta mensagem por engano, por favor avise imediatamente o remetente, respondendo o presente e-mail e apague-o em seguida. This message may contain confidential and/or privileged ...{{dropped:9}}