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 inefp
andsctest.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 defaultto
is taken to be the 1 -from
. F statistics will be calculated for the observations(n*from):(n*to)
, whenn
is the number of observations in the model. Iffrom
is greater than 1 it is interpreted to be the index andto
defaults ton - 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 befloor(n*0.5)
ifn
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)
# }