chow.test: Chow Test for Structural Break

In svars: Data-Driven Identification of SVAR Models

Chow Test for Structural Break

Description

The Chow test for structural change is implemented as sample-split and break-point test (see Luetkepohl and Kraetzig, 2004, p. 135). An estimated VAR model and the presupposed structural break need to be provided.

Usage

chow.test(
  x,
  SB,
  nboot = 500,
  start = NULL,
  end = NULL,
  frequency = NULL,
  format = NULL,
  dateVector = NULL
)

Arguments

x	An object of class 'vars', 'vec2var', 'nlVar'. Estimated VAR object. Or an object of class 'chowpretest' from stability()
SB	Integer, vector or date character. The structural break is specified either by an integer (number of observations in the pre-break period), a vector of ts() frequencies if a ts object is used in the VAR or a date character. If a date character is provided, either a date vector containing the whole time line in the corresponding format or common time parameters need to be provided
nboot	Integer. Number of bootstrap iterations to calculate quantiles and p-values
start	Character. Start of the time series (only if dateVector is empty)
end	Character. End of the time series (only if dateVector is empty)
frequency	Character. Frequency of the time series (only if dateVector is empty)
format	Character. Date format (only if dateVector is empty)
dateVector	Vector. Vector of time periods containing SB in corresponding format

Value

A list of class "chow" with elements

lambda_bp	Test statistic of the Chow test with break point
testcrit_bp	Critical value of the test statistic lambda_bp
p.value_bp	p-value of the test statistic lambda_bp
lambda_sp	Test statistic of the Chow test with sample split
testcrit_sp	Critical value of the test statistic lambda_sp
p.value_sp	p-value of the test statistic lambda_sp
SB	Structural break tested
SBcharacter	Structural break tested as character
p	Number of lags used

References

Luetkepohl, H., 2005. New introduction to multiple time series analysis, Springer-Verlag, Berlin.
Luetkepohl, H., Kraetzig, M., 2004. Applied time series econometrics, Cambridge University Press, Cambridge.

See Also

stability

Examples

# Testing for structural break in USA data
#' # data contains quartlery observations from 1965Q1 to 2008Q2
# assumed structural break in 1979Q3
# x = output gap
# pi = inflation
# i = interest rates
set.seed(23211)
v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
z1 <- chow.test(v1, SB = 59)
summary(z1)

#Using stability() to find potential break point and sample split
x1 <- stability(v1, type = "mv-chow-test")
plot(x1)
z1.1 <- chow.test(x1)
summary(z1.1)
#Or using sample split as benchmark
x1$break_point <- FALSE
z1.1 <- chow.test(x1)
summary(z1.1)

#Structural brake via Dates
#given that time series vector with dates is available
dateVector <- seq(as.Date("1965/1/1"), as.Date("2008/7/1"), "quarter")
z2 <- chow.test(v1, SB = "1979-07-01", format = "%Y-%m-%d", dateVector = dateVector)
summary(z2)

# alternatively pass sequence arguments directly
z3 <- chow.test(v1, SB = "1979-07-01", format = "%Y-%m-%d",
                start = "1965-01-01", end = "2008-07-01",
                frequency = "quarter")
summary(z3)

# or provide ts date format (For quarterly, monthly, weekly and daily frequencies only)
z4 <- chow.test(v1, SB = c(1979,3))
summary(z4)

svars documentation built on Feb. 16, 2023, 7:52 p.m.