Computes an empirical fluctuation process according to a specified
method from the generalised fluctuation test framework. The test
utilises the function efp() and its methods from
package ‘strucchange’.
Specifies which type of fluctuation process will be
computed, the default is ‘OLS-CUSUM’. For details see:
efp.
h
A numeric from interval (0,1) sepcifying the
bandwidth. Determins the size of the data window relative to sample
size (for ‘MOSUM’ and ‘ME’ processes only).
dynamic
Logical. If ‘TRUE’ the lagged
observations are included as a regressor.
rescale
Logical. If ‘TRUE’ the estimates will be
standardized by the regressor matrix of the corresponding subsample;
if ‘FALSE’ the whole regressor matrix will be
used. (only if ‘type’ is either ‘RE’ or
‘E’).
Value
A list with class attribute ‘varstabil’ holding the
following elements:
stability
A list with objects of class ‘efp’;
length is equal to the dimension of the VAR.
names
Character vector containing the names of the endogenous
variables.
Zeileis, A., F. Leisch, K. Hornik and C. Kleiber (2002), strucchange:
An R Package for Testing for Structural Change in Linear Regression
Models, Journal of Statistical Software, 7(2): 1-38,
http://www.jstatsoft.org/v07/i02/
and see the references provided in the reference section of
efp, too.
# NOT RUN {data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
var.2c.stabil <- stability(var.2c, type = "OLS-CUSUM")
var.2c.stabil
# }# NOT RUN {plot(var.2c.stabil)
# }