[R] strucchange | weighted models

f.query evan.cooch at gmail.com
Wed May 13 01:54:35 CEST 2009

Greetings -

Am hoping to use the strucchange package to look for structural breaks 
in some messy regression data. A series of preliminary analyses indicate 
that BLUE for these data will involve some weighting the data (estimates 
of a particular population parameter) by a function of the variance of 
the estimate (say, inverse of the variance). While I've gone through the 
docs for strucchange (which are excellent, btw), I don't see a simple 
(or obvious) way to apply some sort of 'weighting' to the regressions 
implemented in the package. Short of diving into source (which I could 
do, but I'm not sure how the various tests would be impacted by 
weighting of any sort), was wondering if anyone had dealt with this sort 
of issue - either with strucchange, or some other approach/package?

Thanks in advance...

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