vars: stability – R documentation

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stability

Structural stability of a VAR(p)

Description

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’.

Usage

## Default S3 method:
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 class '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, ...)

Arguments

`x`	Object of class ‘`varest`’; generated by `VAR()`.
`type`	Specifies which type of fluctuation process will be computed, the default is ‘`OLS-CUSUM`’. For details see: `efp`.
`h`	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).
`dynamic`	Logical. If ‘`TRUE`’ the lagged observations are included as a regressor.
`rescale`	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.

Details

For details, please refer to documentation efp.

Value

A list with class attribute ‘varstabil’ holding the following elements:

`stability`	A list with objects of class ‘`efp`’; length is equal to the dimension of the VAR.
`names`	Character vector containing the names of the endogenous variables.
`K`	An integer of the VAR dimension.

Author(s)

Bernhard Pfaff

References

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.

Examples

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)

## End(Not run)

vars

VAR Modelling

v1.5-3

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]

Initial release

2018-08-05