
Dear all,
I want to do piecewise CAPM linear regression in R:
RRiskArb−Rf  = (1−δ)[αMktLow+βMktLow(RMkt−Rf)]  +  δ[αMkt High +βMkt High(RMkt −Rf )]

where δ 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 same time add the restriction:

αMkt Low + βMkt Low · Threshold = αMkt High + βMkt High · Threshold
to ensure continuity.
But I do not know how to add this restriction in R, could you help me on this?
Thanks a lot!
Eunice 		 	   		  
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