R: Structural Change Tests in Linear Regression Models
sctest.formula
R Documentation
Structural Change Tests in Linear Regression Models
Description
Performs tests for structural change in linear regression models.
Usage
## S3 method for class 'formula'
sctest(formula, type = , h = 0.15,
alt.boundary = FALSE, functional = c("max", "range",
"maxL2", "meanL2"), from = 0.15, to = NULL, point = 0.5,
asymptotic = FALSE, data, ...)
Arguments
formula
a formula describing the model to be tested.
type
a character string specifying the structural change test that is
to be performed, the default is "Rec-CUSUM". Besides the test
types described in efp
and sctest.Fstats the Chow test and the Nyblom-Hansen test
can be performed by setting type to "Chow" or "Nyblom-Hansen",
respectively.
h
numeric from interval (0,1) specifying the bandwidth. Determines the
size of the data window relative to the sample size (for MOSUM and ME tests
only).
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 used to aggregate
the empirical fluctuation processes to a test statistic.
from, to
numeric. 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.
Interpreted analogous to the from parameter. 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.
...
further arguments passed to efp or
Fstats.
Details
sctest.formula is a convenience interface for performing structural change
tests in linear regression models based on efp and Fstats.
It 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 and the Nyblom-Hansen test are available explicitly here.
An alternative convenience interface for performing structural change tests in general
parametric models (based on gefp) is available in sctest.default.
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.
See Also
sctest.efp, sctest.Fstats, sctest.default
Examples
## Example 7.4 from Greene (1993), "Econometric Analysis"
## Chow test on Longley data
data("longley")
sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley,
type = "Chow", point = 7)
## which is equivalent to segmenting the regression via
fac <- factor(c(rep(1, 7), rep(2, 9)))
fm0 <- lm(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley)
fm1 <- lm(Employed ~ fac/(Year + GNP.deflator + GNP + Armed.Forces), data = longley)
anova(fm0, fm1)
## estimates from Table 7.5 in Greene (1993)
summary(fm0)
summary(fm1)