| plot.efp {strucchange} | R Documentation |
Plotting method for objects of class "efp"
plot(x, alpha = 0.05, alt.boundary = FALSE, boundary = TRUE, functional = "max", main = NULL, ylim = NULL, ylab = "empirical fluctuation process", ...)
x |
an object of class "efp". |
alpha |
numeric from interval (0,1) indicating the confidence level for which the boundary of the corresponding test will be computed. |
alt.boundary |
logical. If set to TRUE alternative boundaries
(instead of the standard linear boundaries) will be plotted (for CUSUM
processes only). |
boundary |
logical. If set to FALSE the boundary will be computed
but not plotted. |
functional |
indicates which functional should be applied to the
estimates based processes ("fluctuation" and "ME"). If set
to NULL a multiple process is plotted. |
... |
graphical parameters. |
Alternative boundaries that are proportional to the standard deviation of the corresponding limiting process are available for the CUSUM-type processes.
efp returns an object of class "efp" which inherits
from the class "ts" or "mts" respectively. The function
plot has a method to plot the
empirical fluctuation process; with sctest the corresponding test on
structural change can be performed.
Achim Zeileis zeileis@ci.tuwien.ac.at
Brown R.L., Durbin J., Evans J.M. (1975), Techniques for testing constancy of regression relationships over time, Journal of the Royal Statistal 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.
Kraemer 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., Kraemer W. (1992), The CUSUM test with OLS residuals, Econometrica, 60, 271-285.
Zeileis A. (2000), p Values and Alternative Boundaries for CUSUM Tests, Working Paper 78, SFB "Adaptive Information Systems and Modelling in Economics and Management Science", Vienna University of Economics, http://www.wu-wien.ac.at/am/wp00.htm#78.
## 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 Rec-CUSUM fluctuation process temp.cus <- efp(nhtemp ~ 1) ## plot the process plot(temp.cus, alpha = 0.01) ## and calculate the test statistic sctest(temp.cus) ## compute (recursive estimates) fluctuation process ## with an additional linear trend regressor lin.trend <- 1:60 temp.me <- efp(nhtemp ~ lin.trend, type = "fluctuation") ## plot the bivariate process plot(temp.me, functional = NULL) ## and perform the corresponding test sctest(temp.me)