R: Structural stability of a VAR(p)

stability {vars} | R Documentation

## 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.

### See Also

`VAR`, `plot`, `efp`

### 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)

[Package vars version 1.5-3 Index]