Description Usage Arguments Value References See Also Examples
Plotting method for objects of class "Fstats"
1 2 3 4 |
x |
an object of class |
pval |
logical. If set to |
asymptotic |
logical. If set to |
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 |
aveF |
logical. If set to |
xlab, ylab, ylim, ... |
high-level |
No return value, called for side effects.
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.
Fstats
, boundary.Fstats
,
sctest.Fstats
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")
|
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