[R] Partial structural Change in STRUCCHANGE PACKAGE

[Achim Zeileis]

On Fri, 18 Feb 2005 11:03:13 -0800 (PST) Yen H., Tong wrote:

> Hi,
> 
> I am using the Strucchange package in R to test for structural change
> in regression coeffcient.  Given a model y = b0 + b1*X + b2*Z, the
> Fstats test whether there is a change in both b1 and b2 over a time
> period.
> 
> Is there any way where I can restrict the test to hold b2 constant and
> test for break in only b1?  That is, instead of a pure structural
> change, could I test for partial structural change in only one of the
> coefficient estimate?

Not in Fstats(). Fstats() computes a sequence of Wald statistics such
that in the case of partial changes I would have to compute
partially segmented models which I haven't implemented because I haven't
seen a real application where a partial change approach is intuitive.
(How do you know that the other coefficients are really stable?)

However, you can compute a sequence of LM statistics using gefp() and
selecting the coefficients you want to assess via the parm argument. The
trick is that you only estimate the model once under the null and thus
avoid the problem of partially segmented models. But I haven't provided
an "efpFunctional" for the supLM test, yet. But if you want to use only
a certain trimming parameter, that is very easy to set up. Contact me
off-list, if you want to do so.
Z

> Warm Regards,
> 
> Yen
> 
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