R: Structural Change Tests

sctest {strucchange} | R Documentation

## Structural Change Tests

### Description

Generic function for performing structural change tests.

### Usage

    sctest(x, ...)

### Arguments

`x` | an object.
`...` | arguments passed to methods.

### Details

`sctest` is a generic function for performing/extracting structural change tests based on various types of objects. The `strucchange` package provides various types of methods.

First, structural change tests based on F statistics in linear regression models (`Fstats`), empirical fluctuation processes in linear regression models (`efp`), and generalized empirical fluctuation processes in parametric models (`gefp`) are available in the corresponding `sctest` methods.

Second, convenience interfaces for carrying out structural change tests in linear regression models and general parametric models are provided in `sctest.formula` and `sctest.default`, respectively.

### 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

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. (2006), Implementing a Class of Structural Change Tests: An Econometric Computing Approach. Computational Statistics & Data Analysis, 50, 2987–3008. doi:10.1016/j.csda.2005.07.001.

### See Also

`sctest.formula`, `sctest.default`, `sctest.Fstats`, `sctest.efp`, `sctest.gefp`

[Package strucchange version 1.5-2 Index]