[R] 'breackpoints' (package 'strucchange'): 2 blocking error messages when using for multiple regression model testing
Achim Zeileis
Achim.Zeileis at uibk.ac.at
Fri Jul 29 10:58:40 CEST 2011
Michel:
> I am encountering a blocking issue when using the function 'breackpoints'
> from package 'strucchange'.
>
> *Context:*
>
> I use a data frame, 248 observations of 5 variables, no NA.
> I compute a linear model, as y~x1+...+x4
> x4 is a dummy variable (0 or 1).
>
> I want to check this model for structural changes.
If you want to _test_ for structural changes, then you should use a test,
i.e., apply sctest() to an Fstats(), efp(), or gefp(). If your errors are
correlated, one standard approach is to employ a HAC (heteroskedasticity
and autocorrelation consistent) covariance matrix. There is a worked
example with Fstats() using a HC matrix in example("durab"). An example
with gefp() using a HAC matrix is in example("gefp"). See also the
vignette("sandwich", package = "sandwich").
The breakpoints() function is for _estimating_ (aka dating) structural
changes, not for testing.
> *Process & issues:*
>
> *First, I used function Fstats.* It works perfectly. However, this test is
> not adapted because regression residuals are not independant.
>
> That is why *I used 'breackpoints', which works for depedant errors* (Bai,
> 1997).
Yes, as for coefficient estimates in a regression model, the breakpoint
estimates are still consistent. But the tests need to be adjusted. Note
also the in the presence of autocorrelation, the standard information
criteria do not perform well (Bai & Perron 2003).
> Syntax:
>
> struc.test <- breakpoints(y~x1+x2+x3+x3+x4, data=D)
>
> *I get an error message:*
> Erreur dans chol2inv(qr.R(fm$qr)) :
> l'?l?ment (5, 5) est nul, donc l'inverse ne peut ?tre calcul?
> (sorry for the french version, I don't know how to get the message
> english translation in R).
>
> My first assumption was this has *something to do with the dummy variable,
> so I skipped it*:
> struc.test <- breakpoints(y~x1+x2+x3+x3, data=D)
>
> *New error message:*
> Erreur dans if (max(abs((betar - fm$coefficients)/fm$coefficients)) < tol)
> check <- FALSE :
> valeur manquante l? o? TRUE / FALSE est requis
>
> I really can't understand what is going wrong. What 'tol' stands for? Seems
> it is not a 'breackpoints' attributes.
The breakpoints() function needs to estimate the model on all possible
subsets to determine the optimal breakpoints. This can be done via
computation of recursive residuals and "tol" is an argument of the
recresid() function. However, I recently enhanced the code trying to fix
exactly this problem. Please try strucchange 1.4-5.
Best,
Z
> Any help would greatly appreciated.
>
> Many thanks in advance,
>
> Regards,
>
> Michel
>
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>
>
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