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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...
If I try the breakpoints() function (strucchange package) with a minimum segment size = the number of regressors, there appears the following error message: "minimum segment size must be greater than the number of regressors" According to the documentation: "breakpoints implements...
Achim Zeileis-4 wrote > > > The reason for the various approaches is that efp() was always confined to > the linear model and gefp() then extended it to arbitrary estimating > function-based models. And for the linear model this provides the option...
I want to apply Nyblom-Hansen test with the strucchange package, but I don't know how is the correct way and what is the difference between the following two approaches (leeding to different results): data("longley") # 1. Approach: sctest...
Thank you, things seem to be clearer :-) > Hansen extended this to the linear regression model and proposed to either > compute one test statistic per parameter (which you can do with the "parm" > argument of gefp) or a joint statistic for...
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