Dear R-Team, Am I right supposing that the "breakpoints()" function in the strucchange package is an implementation of the pure structural change model proposed by Bai and Perron (1997, 2003)?
My question relates to a partial structural change model that Bai and Perron formulate in their 2003 paper, e.g. formulated as y = x' beta + z' delta_j + epsilon, where beta and delta are vectors of coefficients. x represents a vector of variables with an invariant effect on y. z represents a vector of variables, of which the effect on y is allowed to vary due to structural breaks. j indicates the respective segments, which result from the structural breaks. As far as I understand, the "breakpoints()" function can only be used to estimate equations where beta has dim (0x0), i.e. all coefficients are subject to structural breaks (at the same time). Is it possible to tell R that a certain variable is not subject to structural breaks? Put differently, is there a way to estimate partial structural change models using the strucchange package? Thank you very much for your help (and for the greatest statistical software, anyway). Hans Christian doctoral student, Freie Universität Berlin ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.