dear jpm,
segmented can't deal with I(1) regression.. However the segmented
default method could be used on objects fitted by any function which
fits I(1) *linear* regression,
Please contact me off list for details,
best,
vito
Il 18/03/2015 2.16, jpm miao ha scritto:
Hi,
If the relation between y and x is piecewise linear, the package
"segmented" can be used to model it. It works pretty well.
My situation is a little different: y and x are both I(1). Is there an
R-package dealing with this situation? If not, is there an econometrics
paper on this issue? Some papers deal with the case in which the relation
between x and y changes at a certain time point, but my case is different-
the relation between x and y changes when x exceeds some break point.
Thanks!
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Vito M.R. Muggeo
Dip.to Sc Statist e Matem `Vianelli'
Università di Palermo
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28th IWSM
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