[R] gefp() boundaries?

bonda bonda at hsu-hh.de
Thu Oct 6 18:06:02 CEST 2011


Thank you very much for the answer. If I take Poisson model and follow
"Generalized M-fluctuation tests for parameter instability", A. Zeileis and
K. Hornik, Statistica Neerlandica (2007) Vol. 61, N. 4, p. 500-501 (section
4.3):

data("Boston")
n <- 506;
my.X <- as.matrix(cbind(1, Boston["crim"], Boston["age"])); 
my.model <- glm(tax ~ crim + age, family = poisson, data = Boston);
my.psi <- estfun(my.model);
my.mu <- fitted(my.model);
J <- sum(my.mu*my.X%*%t(my.X))/n;
my.process <- apply(as.matrix(my.psi), 2, cumsum)/sqrt(J*n);

gprocess <- gefp(tax ~ crim + age, family = poisson, data=Boston);

then my.process and gprocess$process have to be the same? 

Best regards,
Julia

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