Generalized Fluctuation Tests
Performs a generalized fluctuation test.
## S3 method for class 'efp'
sctest(x, alt.boundary = FALSE,
functional = c("max", "range", "maxL2", "meanL2"), ...)x |
an object of class |
alt.boundary |
logical. If set to |
functional |
indicates which functional should be applied to the empirical fluctuation process. |
... |
currently not used. |
The critical values for the MOSUM tests and the ME test are just
tabulated for confidence levels between 0.1 and 0.01, thus the p
value approximations will be poor for other p values. Similarly the
critical values for the maximum and mean squared Euclidean norm ("maxL2"
and "meanL2") are tabulated for confidence levels between 0.2 and 0.005.
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. |
Brown R.L., Durbin J., Evans J.M. (1975), Techniques for testing constancy of regression relationships over time, Journal of the Royal Statistical 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.
Krämer 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., Krämer W. (1992), The CUSUM Test with OLS Residuals, Econometrica, 60, 271-285.
Zeileis A., Leisch F., Hornik K., Kleiber C. (2002), strucchange:
An R Package for Testing for Structural Change in Linear Regression Models,
Journal of Statistical Software, 7(2), 1-38.
URL http://www.jstatsoft.org/v07/i02/.
Zeileis A. (2004), Alternative Boundaries for CUSUM Tests, Statistical Papers, 45, 123–131.
## 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 OLS-CUSUM fluctuation process
temp.cus <- efp(nhtemp ~ 1, type = "OLS-CUSUM")
## plot the process with alternative boundaries
plot(temp.cus, alpha = 0.01, alt.boundary = TRUE)
## and calculate the test statistic
sctest(temp.cus)
## compute moving estimates fluctuation process
temp.me <- efp(nhtemp ~ 1, type = "ME", h = 0.2)
## plot the process with functional = "max"
plot(temp.me)
## and perform the corresponding test
sctest(temp.me)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.