strucchange (version 1.2-13)

efpFunctional: Functionals for Fluctuation Processes

Description

Computes an object for aggregating, plotting and testing empirical fluctuation processes.

Usage

efpFunctional(functional = list(comp = function(x) max(abs(x)), time = max),
  boundary = function(x) rep(1, length(x)),
  computePval = NULL, computeCritval = NULL,
  plotProcess = NULL, lim.process = "Brownian bridge",
  nobs = 10000, nrep = 50000, nproc = 1:20, h = 0.5,
  probs = c(0:84/100, 850:1000/1000))

Arguments

functional

either a function for aggregating fluctuation processes or a list with two functions names "comp" and "time".

boundary

a boundary function.

computePval

a function for computing p values. If neither computePval nor computeCritval are specified critical values are simulated with settings as specified below.

computeCritval

a function for computing critical values. If neither computePval nor computeCritval are specified critical values are simulated with settings as specified below.

plotProcess

a function for plotting the empirical process, if set to NULL a suitable function is set up.

lim.process

a string specifying the limiting process.

nobs

integer specifying the number of observations of each Brownian motion simulated.

nrep

integer specifying the number of replications.

nproc

integer specifying for which number of processes Brownian motions should be simulated. If set to NULL only nproc = 1 is used and all other values are derived from a Bonferroni correction.

h

bandwidth parameter for increment processes.

probs

numeric vector specifying for which probabilities critical values should be tabulated.

Value

• efpFunctional returns a list of class "efpFunctional" with components inlcuding
  • plotProcess
  {a function for plotting empirical fluctuation processes,}
• computeStatistic
  a function for computing a test statistic from an empirical fluctuation process,
• computePval
  a function for computing the corresponding p value,
• computeCritval
  a function for computing critical values.

encoding

latin1

Details

efpFunctional computes an object of class "efpFunctional" which should know how to do inference based on empirical fluctuation processes (currently only for gefp objects and not yet for efp objects) and how to visualize the corresponding processes. In particular, it has slots for the functions computeStatistic, computePval and plotProcess. These should have the following interfaces: {

• computeStatistic

{should take a single argument which is the process itself, i.e., essentially a n x k matrix where n is the number of observations and k the number of processes (regressors).} computePval{should take two arguments: a scalar test statistic and the number of processes k} plotProcess{should take two arguments: an object of class "gefp" and alpha the level of significance for any boundaries or critical values to be visualized.}}

efpFunctionals for many frequently used test statistics are provided: maxBB for the double maximum function, meanL2BB for the Cramer-von Mises statistic, or rangeBB for the range statistic. Furthermore, supLM generates an object of class "efpFunctional" for a certain trimming parameter, see the examples. More details can be found in Zeileis (2004).

References

Zeileis A., Hornik K. (2003), Generalized M-Fluctuation Tests for Parameter Instability, Report 80, SFB "Adaptive Information Systems and Modelling in Economics and Management Science", Vienna University of Economics, http://www.wu-wien.ac.at/am/reports.htm#80.

Zeileis A. (2005), A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals. Econometric Reviews, 24, 445--466.

Zeileis A. (2006), Implementing a Class of Structural Change Tests: An Econometric Computing Approach. Computational Statistics & Data Analysis, Forthcoming.

See Also

efp, efpFunctional

Examples

data("BostonHomicide")
gcus <- gefp(homicides ~ 1, family = poisson, vcov = kernHAC,
	     data = BostonHomicide)
plot(gcus, functional = meanL2BB)	 
gcus
sctest(gcus, functional = meanL2BB)

y <- rnorm(1000)
x1 <- runif(1000)
x2 <- runif(1000)

## supWald statistic computed by Fstats()
fs <- Fstats(y ~ x1 + x2, from = 0.1)
plot(fs)
sctest(fs)

## compare with supLM statistic
scus <- gefp(y ~ x1 + x2, fit = lm)
plot(scus, functional = supLM(0.1))
sctest(scus, functional = supLM(0.1))

## seatbelt data
data("UKDriverDeaths")
seatbelt <- log10(UKDriverDeaths)
seatbelt <- cbind(seatbelt, lag(seatbelt, k = -1), lag(seatbelt, k = -12))
colnames(seatbelt) <- c("y", "ylag1", "ylag12")
seatbelt <- window(seatbelt, start = c(1970, 1), end = c(1984,12))

scus.seat <- gefp(y ~ ylag1 + ylag12, data = seatbelt)

## double maximum test
plot(scus.seat)
## range test
plot(scus.seat, functional = rangeBB)
## Cramer-von Mises statistic (Nyblom-Hansen test)
plot(scus.seat, functional = meanL2BB)
## supLM test
plot(scus.seat, functional = supLM(0.1))