R: Generalized Fluctuation Tests

sctest.efp {strucchange} | R Documentation

## Generalized Fluctuation Tests

### Description

Performs a generalized fluctuation test.

### Usage

    ## S3 method for class 'efp'
    sctest(x, alt.boundary = FALSE,
        functional = c("max", "range", "maxL2", "meanL2"), ...)

### Arguments

`x` | an object of class `"efp"`.
`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 empirical fluctuation process.
`...` | currently not used.

### Details

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.

### 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.

### References

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.

### See Also

`efp`, `plot.efp`

### 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 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)

[Package strucchange version 1.5-2 Index]