Andrews' Test for End-of-Sample Structural Change
Performs Andrews' test for end-of-sample structural change, as described in
(Andrews 2003). This function works for both univariate and
multivariate data depending on the nature of x and whether
formula is specified. This function is thus an interface to
andrews_test and andrews_test_reg; see the
documentation of those functions for more details.
Andrews.test(x, M, formula = NULL)
x |
Data to test for change in mean (either a vector or
|
M |
Numeric index of the location of the first potential change point |
formula |
The regression formula, which will be passed to
|
A htest-class object containing the results of the test
Andrews DWK (2003). “End-of-Sample Instability Tests.” Econometrica, 71(6), 1661–1694. ISSN 00129682, 14680262, https://www.jstor.org/stable/1555535.
Andrews.test(rnorm(1000), M = 900) x <- rnorm(1000) y <- 1 + 2 * x + rnorm(1000) df <- data.frame(x, y) Andrews.test(df, y ~ x, M = 900)
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