PlotStats

Generate a ggplot2 object to depict the break and the time series tested

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

PlotStats function

<dl><dt>my.dates</dt>
<dd>A vector of dates</dd>
<dt>my.vars</dt>
<dd>The variables tested</dd>
<dt>f.stat</dt>
<dd>The f-statistics</dd>
<dt>mat.ci</dt>
<dd>The matrix of confidence intervals</dd>
<dt>mat.y</dt>
<dd>The original time series</dd></dl>

Arguments

PlotStats — PlotStats

<dl>

<dt>my.dates</dt>
<dd>A vector of dates</dd>


<dt>my.vars</dt>
<dd>The variables tested</dd>


<dt>f.stat</dt>
<dd>The f-statistics</dd>


<dt>mat.ci</dt>
<dd>The matrix of confidence intervals</dd>


<dt>mat.y</dt>
<dd>The original time series</dd>

</dl>

PlotStats: PlotStats

Description

Usage

Value

Arguments