# sctest.formula

##### Structural Change Tests in Linear Regression Models

Performs tests for structural change in linear regression models.

- Keywords
- htest

##### Usage

```
# S3 method for formula
sctest(formula, type = , h = 0.15,
alt.boundary = FALSE, functional = c("max", "range",
"maxL2", "meanL2"), from = 0.15, to = NULL, point = 0.5,
asymptotic = FALSE, data, ...)
```

##### Arguments

- formula
a formula describing the model to be tested.

- type
a character string specifying the structural change test that is to be performed, the default is

`"Rec-CUSUM"`

. Besides the test types described in`efp`

and`sctest.Fstats`

the Chow test and the Nyblom-Hansen test can be performed by setting type to`"Chow"`

or`"Nyblom-Hansen"`

, respectively.- h
numeric from interval (0,1) specifying the bandwidth. Determines the size of the data window relative to the sample size (for MOSUM and ME tests only).

- 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 used to aggregate the empirical fluctuation processes to a test statistic.

- from, to
numeric. If

`from`

is smaller than 1 they are interpreted as percentages of data and by default`to`

is taken to be the 1 -`from`

. F statistics will be calculated for the observations`(n*from):(n*to)`

, when`n`

is the number of observations in the model. If`from`

is greater than 1 it is interpreted to be the index and`to`

defaults to`n - from`

. (for F tests only)- point
parameter of the Chow test for the potential change point. Interpreted analogous to the

`from`

parameter. By default taken to be`floor(n*0.5)`

if`n`

is the number of observations in the model.- asymptotic
logical. If

`TRUE`

the asymptotic (chi-square) distribution instead of the exact (F) distribution will be used to compute the p value (for Chow test only).- data
an optional data frame containing the variables in the model. By default the variables are taken from the environment which

`sctest`

is called from.- ...

##### Details

`sctest.formula`

is a convenience interface for performing structural change
tests in linear regression models based on `efp`

and `Fstats`

.
It is mainly a wrapper for `sctest.efp`

and `sctest.Fstats`

as it fits an empirical fluctuation process
first or computes the F statistics respectively and subsequently performs the
corresponding test. The Chow test and the Nyblom-Hansen test are available explicitly here.

An alternative convenience interface for performing structural change tests in general
parametric models (based on `gefp`

) is available in `sctest.default`

.

##### Value

An object of class `"htest"`

containing:

the test statistic,

the corresponding p value,

a character string with the method used,

a character string with the data name.

##### See Also

##### Examples

```
# NOT RUN {
## Example 7.4 from Greene (1993), "Econometric Analysis"
## Chow test on Longley data
data("longley")
sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley,
type = "Chow", point = 7)
## which is equivalent to segmenting the regression via
fac <- factor(c(rep(1, 7), rep(2, 9)))
fm0 <- lm(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley)
fm1 <- lm(Employed ~ fac/(Year + GNP.deflator + GNP + Armed.Forces), data = longley)
anova(fm0, fm1)
## estimates from Table 7.5 in Greene (1993)
summary(fm0)
summary(fm1)
# }
```

*Documentation reproduced from package strucchange, version 1.5-1, License: GPL-2 | GPL-3*