strucchange (version 1.0-2)

plot.efp: Plot Empirical Fluctuation Process

Description

Plotting method for objects of class "efp"

Usage

## S3 method for class 'efp':
plot(x, alpha = 0.05, alt.boundary = FALSE, boundary = TRUE,
    functional = "max", main = NULL,  ylim = NULL,
    ylab = "empirical fluctuation process", ...)

Arguments

x

an object of class "efp".

alpha

numeric from interval (0,1) indicating the confidence level for which the boundary of the corresponding test will be computed.

alt.boundary

logical. If set to TRUE alternative boundaries (instead of the standard linear boundaries) will be plotted (for CUSUM processes only).

boundary

logical. If set to FALSE the boundary will be computed but not plotted.

functional

indicates which functional should be applied to the estimates based processes ("fluctuation" and "ME"). If set to NULL a multiple process is plotted.

main, ylim, ylab, ...

high-level plot function parameters.

Value

• efp returns an object of class "efp" which inherits from the class "ts" or "mts" respectively. The function plot has a method to plot the empirical fluctuation process; with sctest the corresponding test on structural change can be performed.

Details

Alternative boundaries that are proportional to the standard deviation of the corresponding limiting process are available for the CUSUM-type processes.

References

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.

Kr�mer 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., Kr�mer 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.

See Also

efp, boundary.efp, sctest.efp

Examples

## 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 Rec-CUSUM fluctuation process
temp.cus <- efp(nhtemp ~ 1)
## plot the process
plot(temp.cus, alpha = 0.01)
## and calculate the test statistic
sctest(temp.cus)

## compute (recursive estimates) fluctuation process
## with an additional linear trend regressor
lin.trend <- 1:60
temp.me <- efp(nhtemp ~ lin.trend, type = "fluctuation")
## plot the bivariate process
plot(temp.me, functional = NULL)
## and perform the corresponding test
sctest(temp.me)