strucchange (version 1.5-1)

sctest.efp: Generalized Fluctuation Tests

Description

Performs a generalized fluctuation test.

Usage

# S3 method for 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 Euclidean 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 Statistical 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<e4>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<e4>mer W. (1992), The CUSUM Test with OLS Residuals, Econometrica, 60, 271-285.

Zeileis A., Leisch F., Hornik K., Kleiber C. (2002), strucchange: An R Package for Testing for Structural Change in Linear Regression Models, Journal of Statistical Software, 7(2), 1-38. URL http://www.jstatsoft.org/v07/i02/.

Zeileis A. (2004), Alternative Boundaries for CUSUM Tests, Statistical Papers, 45, 123--131.

See Also

efp, plot.efp

Examples

# NOT RUN {
## 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)
# }