R: Dow Jones Industrial Average

DJIA {strucchange} | R Documentation

## Dow Jones Industrial Average

### Description

Weekly closing values of the Dow Jones Industrial Average.

### Usage

    data("DJIA")

### Format

A weekly univariate time series of class `"zoo"` from 1971-07-01 to 1974-08-02.

### Source

Appendix A in Hsu (1979).

### References

Hsu D. A. (1979), Detecting Shifts of Parameter in Gamma Sequences with Applications to Stock Price and Air Traffic Flow Analysis, Journal of the American Statistical Association, 74, 31–40.

### Examples

    data("DJIA")
    ## look at log-difference returns
    djia <- diff(log(DJIA))
    plot(djia)

    ## convenience functions
    ## set up a normal regression model which
    ## explicitely also models the variance
    normlm <- function(formula, data = list()) {
      rval <- lm(formula, data = data)
      class(rval) <- c("normlm", "lm")
      return(rval)
    }
    estfun.normlm <- function(obj) {
      res <- residuals(obj)
      ef <- NextMethod(obj)
      sigma2 <- mean(res^2)
      rval <- cbind(ef, res^2 - sigma2)
      colnames(rval) <- c(colnames(ef), "(Variance)")
      return(rval)
    }

    ## normal model (with constant mean and variance) for log returns
    m1 <- gefp(djia ~ 1, fit = normlm, vcov = meatHAC, sandwich = FALSE)
    plot(m1, aggregate = FALSE)
    ## suggests a clear break in the variance (but not the mean)

    ## dating
    bp <- breakpoints(I(djia^2) ~ 1)
    plot(bp)
    ## -> clearly one break
    bp
    time(djia)[bp$breakpoints]

    ## visualization
    plot(djia)
    abline(v = time(djia)[bp$breakpoints], lty = 2)
    lines(time(djia)[confint(bp)$confint[c(1,3)]], rep(min(djia), 2), col = 2, type = "b", pch = 3)

[Package strucchange version 1.5-2 Index]