Description Usage Arguments Value References See Also Examples
Computes an empirical Mfluctuation process from the scores of a fitted model.
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specification of some model which is passed together
with 
fit 
a model fitting function, typically 
scores 
a function which extracts the scores or estimating
function from the fitted object: 
vcov 
a function to extract the covariance matrix
for the coefficients of the fitted model:

decorrelate 
logical. Should the process be decorrelated? 
sandwich 
logical. Is the function 
order.by 
Either a vector 
fitArgs 
List of additional arguments which could be passed to
the 
parm 
integer or character specifying the component of the estimating functions which should be used (by default all components are used). 
data 
an optional data frame containing the variables in the 
gefp
returns a list of class "gefp"
with components including:
process 
the fitted empirical fluctuation process of class

nreg 
the number of regressors, 
nobs 
the number of observations, 
fit 
the fit function used, 
scores 
the scores function used, 
fitted.model 
the fitted model. 
Zeileis A. (2005), A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals. Econometric Reviews, 24, 445–466. doi:10.1080/07474930500406053.
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.
Zeileis A., Hornik K. (2007), Generalized MFluctuation Tests for Parameter Instability, Statistica Neerlandica, 61, 488–508. doi:10.1111/j.14679574.2007.00371.x.
Zeileis A., Shah A., Patnaik I. (2010), Testing, Monitoring, and Dating Structural Changes in Exchange Rate Regimes, Computational Statistics and Data Analysis, 54(6), 1696–1706. doi:10.1016/j.csda.2009.12.005.
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