Hi Your post is rather screwed.
> > [R] how to do piecewise linear regression in R? Maybe segmented? Regards Petr > > > Dear all, > I want to do piecewise CAPM linear regression in R: > RRiskArbâ’Rf = (1â’δ)[αMktLow+βMktLow(RMktâ’Rf)] + δ[αMkt High > +βMkt High(RMkt â’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 > [[alternative HTML version deleted]] > > ______________________________________________ > 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. ______________________________________________ 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.
