[R] strucchange Nyblom-Hansen Test?

[buehlerman]

Achim Zeileis-4 wrote
> 
> 
> The reason for the various approaches is that efp() was always confined to 
> the linear model and gefp() then extended it to arbitrary estimating 
> function-based models. And for the linear model this provides the option 
> of treating the variance of a nuisance parameter or a full model 
> parameter.
> 
> 


I'm not sure, if my understanding of treating the variance as a nuisance
parameter (in the Nyblom-Hansen test) is right.

The main interest of my analysis relies on the stability of regression
coefficients (and not of the variance). Is it therefore prefereable to treat
the variance as a nuisance parameter rather than a full model parameter?

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