[R] how to do piecewise linear regression in R?
petr.pikal at precheza.cz
Fri Apr 6 11:29:06 CEST 2012
Your post is rather screwed.
> [R] how to do piecewise linear regression in R?
> Dear all,
> I want to do piecewise CAPM linear regression in R:
> RRiskArbâ’Rf = (1â’Î´)[Î±MktLow+Î˛MktLow(RMktâ’Rf)] + Î´[Î±Mkt
> +Î˛Mkt High(RMkt â’Rf )]
> where Î´ is a dummy variable if the excess return on the value-weighted
> CRSP index is above a threshold level and zero otherwise. and at the
> time add the restriction:
> Î±Mkt Low + Î˛Mkt Low Â· Threshold = Î±Mkt High + Î˛Mkt High Â·
> to ensure continuity.
> But I do not know how to add this restriction in R, could you help me on
> Thanks a lot!
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> and provide commented, minimal, self-contained, reproducible code.
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