[R] R strucchange question: recursive-based CUSUM
bonda at hsuhh.de
Fri Oct 30 13:49:56 CET 2009
Hello R users:
I'm trying now to apply the package strucchange to see whether there is
a structural change in linear regression. I have noted the following
problem that arises in my case with recursive-based CUSUM: generic
function recresid() in efp() generates an error, since (probably) it
cannot compute the inverse matrix of (X^(i-1)^T)*(X^(i-1)) at each step
(i-1), because the matrix (X^(i-1)^T)*(X^(i-1)) does not have full rank
for all i (X consists of dummy variables). Does any solution of this
problem exist (for example, to replace the ordinary inverse by the
generalised inverse, ginv())?
Thank you in advance for your help!
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