strucchange (version 1.1-2)

sctest.efp: Generalized Fluctuation Tests

Description

Performs a generalized fluctuation test.

Usage

## S3 method for class 'efp':
sctest(x, alt.boundary = FALSE,
    functional = c("max", "range", "maxL2", "meanL2"), ...)

Arguments

x

an object of class "efp".

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 applied to the empirical fluctuation process.

...

currently not used.

Value

• 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

Details

The critical values for the MOSUM tests and the ME test are just tabulated for confidence levels between 0.1 and 0.01, thus the p value approximations will be poor for other p values. Similarly the critical values for the maximum and mean squared Euclidian norm ("maxL2" and "meanL2") are tabulated for confidence levels between 0.2 and 0.005.

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, plot.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 OLS-CUSUM fluctuation process
temp.cus <- efp(nhtemp ~ 1, type = "OLS-CUSUM")
## plot the process with alternative boundaries
plot(temp.cus, alpha = 0.01, alt.boundary = TRUE)
## and calculate the test statistic
sctest(temp.cus)

## compute moving estimates fluctuation process
temp.me <- efp(nhtemp ~ 1, type = "ME", h = 0.2)
## plot the process with functional = "max"
plot(temp.me)
## and perform the corresponding test
sctest(temp.me)