plot.Fstats: Plot F Statistics In strucchange: Testing, Monitoring, and Dating Structural Changes

Description

Plotting method for objects of class `"Fstats"`

Usage

 ```1 2 3 4``` ```## S3 method for class 'Fstats' plot(x, pval = FALSE, asymptotic = FALSE, alpha = 0.05, boundary = TRUE, aveF = FALSE, xlab = "Time", ylab = NULL, ylim = NULL, ...) ```

Arguments

 `x` an object of class `"Fstats"`. `pval` logical. If set to `TRUE` the corresponding p values instead of the original F statistics will be plotted. `asymptotic` logical. If set to `TRUE` the asymptotic (chi-square) distribution instead of the exact (F) distribution will be used to compute the p values (only if `pval` is `TRUE`). `alpha` numeric from interval (0,1) indicating the confidence level for which the boundary of the supF test will be computed. `boundary` logical. If set to `FALSE` the boundary will be computed but not plotted. `aveF` logical. If set to `TRUE` the boundary of the aveF test will be plotted. As this is a boundary for the mean of the F statistics rather than for the F statistics themselves a dashed line for the mean of the F statistics will also be plotted. `xlab, ylab, ylim, ...` high-level `plot` function parameters.

References

Andrews D.W.K. (1993), Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821-856.

Hansen B. (1992), Tests for parameter instability in regressions with I(1) processes, Journal of Business & Economic Statistics, 10, 321-335.

Hansen B. (1997), Approximate asymptotic p values for structural-change tests, Journal of Business & Economic Statistics, 15, 60-67.

See Also

`Fstats`, `boundary.Fstats`, `sctest.Fstats`

Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16``` ```## 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 for potential break points between 1941 ## (corresponds to from = 0.5) and 1962 (corresponds to to = 0.85) ## compute F statistics fs <- Fstats(nhtemp ~ 1, from = 0.5, to = 0.85) ## plot the F statistics plot(fs, alpha = 0.01) ## and the corresponding p values plot(fs, pval = TRUE, alpha = 0.01) ## perform the aveF test sctest(fs, type = "aveF") ```

strucchange documentation built on May 29, 2017, 7:17 p.m.