[R] Problem with strucchange package

[Achim Zeileis]

On Wed, 2 Jul 2008, tolga.i.uzuner at jpmorgan.com wrote:

> Dear R Users,
>
> I am attempting to use the strucchange package but get an error which is
> difficult to decipher.
>
> I get the following error with breakpoints:
>
>> bp<-breakpoints(regr[,1]~regr[,2]+regr[,3])
> Error in my.RSS.table[as.character(i), 3:4] <- c(pot.index[opt],
> break.RSS[opt]) :
>  nothing to replace with

I've seen this happening when something about the data formatting was not 
right. Maybe it is because of:

> regr is a zoo object with three columns.

Unfortunately, breakpoints() does not yet support "zoo" objects. This has 
been on my todo list for some time but it's still not there. The
recommended workaround is to store the time index elsewhere and query that 
separately, e.g.,

## separate data
mydata <- as.data.frame(regr)
mytime <- time(regr)

## call breakpoints (assuming that y, x1, x2 are the column names of regr)
bp <- breakpoints(y ~ x1 + x2, data = mydata)

## query breakpoints
summary(bp)
breakpoints(bp)
## plot...etc.

## match with time index
mytime[breakpoints(bp)$breakpoints]

Hopefully that solves your problem. Depending on the size of your data 
set, it might also help to set "h" to a more reasonable value than the 
default in breakpoints().

hth,
Z

> Happy to provide all the data so
> one can replicate this but it is  lengthy so I am posting this way in case
> this is a common issue.
>
> This is on R version 2.7.0, strucchange 1.2-3 and zoo 1.5-3.
>
> Thanks in advance,
> Tolga
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