durab {strucchange} | R Documentation |
US labor productivity in the manufacturing/durables sector.
data(durab)
durab
is a multivariate monthly time series from 1947(3)
to 2001(4) with variables
y
,The data set is available from Bruce Hansen's homepage http://www.ssc.wisc.edu/~bhansen/. For more information see Hansen (2001).
Hansen B. (2001), The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity, Journal of Economic Perspectives, 15, 117–128.
Zeileis A., Leisch F., Kleiber C., Hornik K. (2005), Monitoring Structural Change in Dynamic Econometric Models, Journal of Applied Econometrics, 20, 99–121.
data(durab) ## use AR(1) model as in Hansen (2001) and Zeileis et al. (2005) durab.model <- y ~ lag ## historical tests ## OLS-based CUSUM process ols <- efp(durab.model, data = durab, type = "OLS-CUSUM") plot(ols) ## F statistics fs <- Fstats(durab.model, data = durab, from = 0.1) plot(fs) ## F statistics based on heteroskadisticy-consistent covariance matrix fsHC <- Fstats(durab.model, data = durab, from = 0.1, vcov = function(x, ...) vcovHC(x, type = "HC", ...)) plot(fsHC) ## monitoring Durab <- window(durab, start=1964, end = c(1979, 12)) ols.efp <- efp(durab.model, type = "OLS-CUSUM", data = Durab) newborder <- function(k) 1.5778*k/192 ols.mefp <- mefp(ols.efp, period=2) ols.mefp2 <- mefp(ols.efp, border=newborder) Durab <- window(durab, start=1964) ols.mon <- monitor(ols.mefp) ols.mon2 <- monitor(ols.mefp2) plot(ols.mon) lines(boundary(ols.mon2), col = 2) ## dating bp <- breakpoints(durab.model, data = durab) summary(bp) plot(summary(bp)) plot(ols) lines(breakpoints(bp, breaks = 1), col = 3) lines(breakpoints(bp, breaks = 2), col = 4) plot(fs) lines(breakpoints(bp, breaks = 1), col = 3) lines(breakpoints(bp, breaks = 2), col = 4)