Computes an empirical fluctuation process according to a specified
method from the generalised fluctuation test framework. The test
utilises the function efp()
and its methods from
package ‘strucchange
’.
# S3 method for default
stability(x, type = c("OLS-CUSUM", "Rec-CUSUM",
"Rec-MOSUM", "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM",
"fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE, ...)
# S3 method for varest
stability(x, type = c("OLS-CUSUM", "Rec-CUSUM",
"Rec-MOSUM", "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM",
"fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE, ...)
Object of class ‘varest
’; generated by
VAR()
.
Specifies which type of fluctuation process will be
computed, the default is ‘OLS-CUSUM
’. For details see:
efp
.
A numeric from interval (0,1) sepcifying the
bandwidth. Determins the size of the data window relative to sample
size (for ‘MOSUM
’ and ‘ME
’ processes only).
Logical. If ‘TRUE
’ the lagged
observations are included as a regressor.
Logical. If ‘TRUE
’ the estimates will be
standardized by the regressor matrix of the corresponding subsample;
if ‘FALSE
’ the whole regressor matrix will be
used. (only if ‘type
’ is either ‘RE
’ or
‘E
’).
Ellipsis, is passed to strucchange::sctest()
, as default.
A list with class attribute ‘varstabil
’ holding the
following elements:
A list with objects of class ‘efp
’;
length is equal to the dimension of the VAR.
Character vector containing the names of the endogenous variables.
An integer of the VAR dimension.
For details, please refer to documentation efp
.
Zeileis, A., F. Leisch, K. Hornik and C. Kleiber (2002), strucchange: An R Package for Testing for Structural Change in Linear Regression Models, Journal of Statistical Software, 7(2): 1-38, http://www.jstatsoft.org/v07/i02/
and see the references provided in the reference section of
efp
, too.
# NOT RUN {
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
var.2c.stabil <- stability(var.2c, type = "OLS-CUSUM")
var.2c.stabil
# }
# NOT RUN {
plot(var.2c.stabil)
# }
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