| sctest.formula {strucchange} | R Documentation |
Performs tests for structural change.
## S3 method for class 'formula':
sctest(formula, type = , h = 0.15,
alt.boundary = FALSE, functional = c("max", "range",
"maxL2", "meanL2"), from = 0.15, to = NULL, point = 0.5,
asymptotic = FALSE, data, ...)
formula |
a formula describing the model to be tested. |
type |
a character string specifying the structural change test that ist
to be performed, the default is "Rec-CUSUM". Besides the test
types described in efp
and sctest.Fstats. The Chow test and the Nyblom-Hansen test
can be performed by setting type to "Chow" or "Nyblom-Hansen",
respectively. |
h |
numeric from interval (0,1) specifying the bandwidth. Determins the size of the data window relative to sample size (for MOSUM and ME tests only). |
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 used to aggregate the empirical fluctuation processes to a test statistic. |
from, to |
numerics. If from is smaller than 1 they are
interpreted as percentages of data and by default to is taken to be
the 1 - from. F statistics will be calculated for the observations
(n*from):(n*to), when n is the number of observations in the
model. If from is greater than 1 it is interpreted to be the index
and to defaults to n - from. (for F tests only) |
point |
parameter of the Chow test for the potential change point.
Interpreted analogous to the from parameter. By
default taken to be floor(n*0.5) if n is the number of
observations in the model. |
asymptotic |
logical. If TRUE the asymptotic (chi-square)
distribution instead of the exact (F) distribution will be used to compute
the p value (for Chow test only). |
data |
an optional data frame containing the variables in the model. By
default the variables are taken from the environment which
sctest is called from. |
... |
further arguments passed to efp or
Fstats. |
sctest.formula is mainly a wrapper for sctest.efp
and sctest.Fstats as it fits an empirical fluctuation process
first or computes the F statistics respectively and subsequently performs the
corresponding test. The Chow test and the Nyblom-Hansen test are available explicitely here.
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 |
## Example 7.4 from Greene (1993), "Econometric Analysis" ## Chow test on Longley data data(longley) sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley, type = "Chow", point = 7) ## which is equivalent to segmenting the regression via fac <- factor(c(rep(1, 7), rep(2, 9))) fm0 <- lm(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley) fm1 <- lm(Employed ~ fac/(Year + GNP.deflator + GNP + Armed.Forces), data = longley) anova(fm0, fm1) ## estimates from Table 7.5 in Greene (1993) summary(fm0) summary(fm1)