sctest.formula {strucchange}R Documentation

Structural Change Tests

Description

Performs tests on structural change.

Usage

sctest(formula, type = <<see below>>, h = 0.15, dynamic = FALSE,
    tol = 1e-7, alt.boundary = FALSE, functional = c("max", "range"),
    from = 0.15, to = NULL, point = floor(0.5*nrow(model.frame(x))),
    asymptotic = FALSE, data, ...)

Arguments

formula a formula describing the model to be tested.
type a character string specifying the structural change test that ist to be performed. Besides the tests types described in efp and sctest.Fstats the Chow test is can be performed by setting type to "Chow".
h numeric from interval (0,1) specifying the bandwidth. Determins the size of the data window relative to sample size (for MOSUM and ME tests only).
dynamic logical. If TRUE the lagged observations are included as a regressor (for generalized fluctuation tests only).
tol tolerance when solve is used
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 estimates based processes ("fluctuation" and "ME").
from, to numerics. 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. 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.
... currently not used.

Details

sctest.formula 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 is available explicitely here.

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

Author(s)

Achim Zeileis zeileis@ci.tuwien.ac.at

See Also

sctest.efp, sctest.Fstats

Examples

## 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 with the Standard CUSUM test
sctest(nhtemp ~ 1)
## with the Chow test (under the alternative that there is a change after the
## 30th observation)
sctest(nhtemp ~ 1, type = "Chow", point = 30)