Re: [R] Problem with strucchange package

From: <tolga.i.uzuner_at_jpmorgan.com>
Date: Thu, 03 Jul 2008 08:35:55 +0100


Many thanks, much appreciated.
Tolga

Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at> 02/07/2008 20:56

To
tolga.i.uzuner_at_jpmorgan.com
cc
r-help_at_r-project.org
Subject
Re: [R] Problem with strucchange package

On Wed, 2 Jul 2008, tolga.i.uzuner_at_jpmorgan.com wrote:

> Dear R Users,
>
> I am attempting to use the strucchange package but get an error which is
> difficult to decipher.
>
> I get the following error with breakpoints:
>
>> bp<-breakpoints(regr[,1]~regr[,2]+regr[,3])
> Error in my.RSS.table[as.character(i), 3:4] <- c(pot.index[opt],
> break.RSS[opt]) :
> nothing to replace with

I've seen this happening when something about the data formatting was not right. Maybe it is because of:

> regr is a zoo object with three columns.

Unfortunately, breakpoints() does not yet support "zoo" objects. This has been on my todo list for some time but it's still not there. The recommended workaround is to store the time index elsewhere and query that

separately, e.g.,

## separate data
mydata <- as.data.frame(regr)
mytime <- time(regr)

## call breakpoints (assuming that y, x1, x2 are the column names of regr) bp <- breakpoints(y ~ x1 + x2, data = mydata)

## query breakpoints
summary(bp)
breakpoints(bp)
## plot...etc.

## match with time index
mytime[breakpoints(bp)$breakpoints]

Hopefully that solves your problem. Depending on the size of your data set, it might also help to set "h" to a more reasonable value than the default in breakpoints().

hth,
Z

> Happy to provide all the data so
> one can replicate this but it is lengthy so I am posting this way in
case
> this is a common issue.
>
> This is on R version 2.7.0, strucchange 1.2-3 and zoo 1.5-3.
>
> Thanks in advance,
> Tolga
>
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Generally, this communication is for informational purposes only and it is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. In the event you are receiving the offering materials attached below related to your interest in hedge funds or private equity, this communication may be intended as an offer or solicitation for the purchase or sale of such fund(s). All market prices, data and other information are not warranted as to completeness or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and affiliates.

This transmission may contain information that is privileged, confidential, legally privileged, and/or exempt from disclosure under applicable law. If you are not the intended recipient, you are hereby notified that any disclosure, copying, distribution, or use of the information contained herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this transmission and any attachments are believed to be free of any virus or other defect that might affect any computer system into which it is received and opened, it is the responsibility of the recipient to ensure that it is virus free and no responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as applicable, for any loss or damage arising in any way from its use. If you received this transmission in error, please immediately contact the sender and destroy the material in its entirety, whether in electronic or hard copy format. Thank you.
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