Thanks a lot for your immediate help and detailed explanation! About one thing I'm not quite clear:
When the default fit = glm in gefp() is used: sctest(gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley, fit = lm), functional = meanL2BB) is this then the original Nyblom's Parameter Stability Test (1989) or is it the joint (Nyblom-)Hansen test with theta = (beta) constant instead of theta = (beta, sigma^2) constant ? -- View this message in context: http://r.789695.n4.nabble.com/strucchange-Nyblom-Hansen-Test-tp3887208p3905669.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
