| sctest.efp {strucchange} | R Documentation |
Performs a generalized fluctuation test.
## S3 method for class 'efp':
sctest(x, alt.boundary = FALSE,
functional = c("max", "range", "maxL2", "meanL2"), ...)
x |
an object of class "efp". |
alt.boundary |
logical. If set to TRUE alternative boundaries
(instead of
the standard linear boundaries) will be used (for CUSUM
processes only). |
functional |
indicates which functional should be applied to the empirical fluctuation process. |
... |
currently not used. |
The critical values for the MOSUM tests and the ME test are just
tabulated for confidence levels between 0.1 and 0.01, thus the p
value approximations will be poor for other p values. Similarly the
critical values for the maximum and mean squared Euclidian norm ("maxL2"
and "meanL2") are tabulated for confidence levels between 0.2 and 0.005.
an object of class "htest" containing:
statistic |
the test statistic |
p.value |
the corresponding p value |
method |
a character string with the method used |
data.name |
a character string with the data name |
Brown R.L., Durbin J., Evans J.M. (1975), Techniques for testing constancy of regression relationships over time, Journal of the Royal Statistal Society, B, 37, 149-163.
Chu C.-S., Hornik K., Kuan C.-M. (1995), MOSUM tests for parameter constancy, Biometrika, 82, 603-617.
Chu C.-S., Hornik K., Kuan C.-M. (1995), The moving-estimates test for parameter stability, Econometric Theory, 11, 669-720.
Krämer W., Ploberger W., Alt R. (1988), Testing for structural change in dynamic models, Econometrica, 56, 1355-1369.
Kuan C.-M., Hornik K. (1995), The generalized fluctuation test: A unifying view, Econometric Reviews, 14, 135 - 161.
Kuan C.-M., Chen (1994), Implementing the fluctuation and moving estimates tests in dynamic econometric models, Economics Letters, 44, 235-239.
Ploberger W., Krämer W. (1992), The CUSUM Test with OLS Residuals, Econometrica, 60, 271-285.
Zeileis A. (2000), p Values and Alternative Boundaries for CUSUM Tests, Working Paper 78, SFB "Adaptive Information Systems and Modelling in Economics and Management Science", Vienna University of Economics, http://www.wu-wien.ac.at/am/wp00.htm#78.
## Load dataset "nhtemp" with average yearly temperatures in New Haven data(nhtemp) ## plot the data plot(nhtemp) ## test the model null hypothesis that the average temperature remains ## constant over the years compute OLS-CUSUM fluctuation process temp.cus <- efp(nhtemp ~ 1, type = "OLS-CUSUM") ## plot the process with alternative boundaries plot(temp.cus, alpha = 0.01, alt.boundary = TRUE) ## and calculate the test statistic sctest(temp.cus) ## compute moving estimates fluctuation process temp.me <- efp(nhtemp ~ 1, type = "ME", h = 0.2) ## plot the process with functional = "max" plot(temp.me) ## and perform the corresponding test sctest(temp.me)