[Gretl-users] Re: R: Re: StrucBreak package (drawback)
On Fri, 12 May 2023, GIULIO PALOMBA wrote:
My spontaneous reaction would be to disallow dummy variables such as
this for the set of variables with breaking coefficients (Z), but I'm
open to counter-arguments.
I disagree. The problem is not related to dummy variables _per se_; the
problem comes from the possibility that the Z matrix may not be full-rank
in a given subset.
I've tried a quick fix, but unfortunately, it's not general enough. I'll
be unable to get any more work done over the weekend; I'll see what I can
do next week, unless somebody beats me to it ;)
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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