Fstat

Compute the f-statistic for the break test

Flexible implementation of a structural change point detection algorithm for multivariate time series.
It authorizes inclusion of trends, exogenous variables, and break test on the intercept or on the full vector autoregression system.
Bai, Lumsdaine, and Stock (1998) <doi:10.1111/1467-937X.00051>.

Loic Marechal

multibreakeR

Tests for a Structural Change in Multivariate Time Series

Fstat function

<dl><dt>mat.r</dt>
<dd>The selection matrix for the parameters</dd>
<dt>mat.beta</dt>
<dd>The matrix of parameters</dd>
<dt>mat.z</dt>
<dd>The matrix of original and "breaking" time series</dd>
<dt>p</dt>
<dd>The number of observations</dd>
<dt>mat.sigma</dt>
<dd>The covariance matrix</dd></dl>

Arguments

Fstat — Fstat

<dl>

<dt>mat.r</dt>
<dd>The selection matrix for the parameters</dd>


<dt>mat.beta</dt>
<dd>The matrix of parameters</dd>


<dt>mat.z</dt>
<dd>The matrix of original and "breaking" time series</dd>


<dt>p</dt>
<dd>The number of observations</dd>


<dt>mat.sigma</dt>
<dd>The covariance matrix</dd>

</dl>

Fstat: Fstat

Description

Usage

Value

Arguments