CODEWITHSUNDEEP
rpackagetime-seriesregression
L.S
L.S

Reputation: 47

Breakpoints (strucchange package)

I was wondering if the breakpoints given by the package (strucchange) are corresponding to : the end of a period, or the beginning of a new one ? For instance, I have found a breakdate=2003. I assumed that it was the start of the second period, however, when I have integrated 2003 in the regression, I found a better R² than when I included 2003 in the second period. Thanks

Upvotes: 1

Views: 1855

Answers (1)

Vincent Zoonekynd
Vincent Zoonekynd

Reputation: 32401

The documentation refers to the breakpoints as i_j, and the segments are i_{j-1} + 1, …, i_j. In other words, breakpoints correspond to the end of the periods.

You can check it on a simple example: the segments are 1:5 and 6:10.

library(strucchange)
y <- c( rep(0,5), rep(1,5) )
breakpoints(Fstats(y ~ 1))
# ...
# Breakpoints at observation number:
# 5

Upvotes: 1

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