R/pvalue.Fstats.R

In appelmar/strucchange: Testing, Monitoring, and Dating Structural Changes: C++ Version

pvalue.Fstats <- function(x, type = c("supF", "aveF", "expF"), k, lambda)
{
  if(k > 40) {
    k <- 40
    warning("no p-values available for k > 40 regressors, k = 40 used")
  }

  switch(match.arg(type),
  supF = {
    beta <- get("sc.beta.sup")
  },
  aveF = {
    beta <- get("sc.beta.ave")
  },
  expF = {
    beta <- get("sc.beta.exp")
  })

  m <- ncol(beta)-1
  if(lambda<1) tau <- lambda
  else tau <- 1/(1+sqrt(lambda))
  beta <- beta[(((k-1)*25 +1):(k*25)),]
  dummy <- beta[,(1:m)]%*%x^(0:(m-1))
  dummy <- dummy*(dummy>0)
  pp <- 1 - pchisq(dummy, beta[,(m+1)])
  if(tau==0.5)
    p <- 1 - pchisq(x, k)
  else if(tau <= 0.01)
    p <- pp[25]
  else if(tau >= 0.49)
    p <- ((0.5-tau)*pp[1] + (tau-0.49)*(1-pchisq(x,k)))*100
  else
  {
    taua <- (0.51-tau)*50
    tau1 <- floor(taua)
    p <- (tau1 + 1 - taua)*pp[tau1] + (taua-tau1)*pp[tau1+1]
  }
  p
}

"sc.beta.sup" <-
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    "795", "796", "797", "798", "799", "800", "801", "802", "803",
    "804", "805", "806", "807", "808", "809", "810", "811", "812",
    "813", "814", "815", "816", "817", "818", "819", "820", "821",
    "822", "823", "824", "825", "826", "827", "828", "829", "830",
    "831", "832", "833", "834", "835", "836", "837", "838", "839",
    "840", "841", "842", "843", "844", "845", "846", "847", "848",
    "849", "850", "851", "852", "853", "854", "855", "856", "857",
    "858", "859", "860", "861", "862", "863", "864", "865", "866",
    "867", "868", "869", "870", "871", "872", "873", "874", "875",
    "876", "877", "878", "879", "880", "881", "882", "883", "884",
    "885", "886", "887", "888", "889", "890", "891", "892", "893",
    "894", "895", "896", "897", "898", "899", "900", "901", "902",
    "903", "904", "905", "906", "907", "908", "909", "910", "911",
    "912", "913", "914", "915", "916", "917", "918", "919", "920",
    "921", "922", "923", "924", "925", "926", "927", "928", "929",
    "930", "931", "932", "933", "934", "935", "936", "937", "938",
    "939", "940", "941", "942", "943", "944", "945", "946", "947",
    "948", "949", "950", "951", "952", "953", "954", "955", "956",
    "957", "958", "959", "960", "961", "962", "963", "964", "965",
    "966", "967", "968", "969", "970", "971", "972", "973", "974",
    "975", "976", "977", "978", "979", "980", "981", "982", "983",
    "984", "985", "986", "987", "988", "989", "990", "991", "992",
    "993", "994", "995", "996", "997", "998", "999", "1000"),
    c("V1", "V2", "V3")))
"sc.beta.ave" <-
structure(c(-0.0183718, -0.05119386, -0.07867301, -0.10590321,
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"989", "990", "991", "992", "993", "994", "995", "996", "997",
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"sc.beta.exp" <-
structure(c(-0.00205601, -0.04350992, -0.07621043, -0.10080565,
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"192", "193", "194", "195", "196", "197", "198", "199", "200",
"201", "202", "203", "204", "205", "206", "207", "208", "209",
"210", "211", "212", "213", "214", "215", "216", "217", "218",
"219", "220", "221", "222", "223", "224", "225", "226", "227",
"228", "229", "230", "231", "232", "233", "234", "235", "236",
"237", "238", "239", "240", "241", "242", "243", "244", "245",
"246", "247", "248", "249", "250", "251", "252", "253", "254",
"255", "256", "257", "258", "259", "260", "261", "262", "263",
"264", "265", "266", "267", "268", "269", "270", "271", "272",
"273", "274", "275", "276", "277", "278", "279", "280", "281",
"282", "283", "284", "285", "286", "287", "288", "289", "290",
"291", "292", "293", "294", "295", "296", "297", "298", "299",
"300", "301", "302", "303", "304", "305", "306", "307", "308",
"309", "310", "311", "312", "313", "314", "315", "316", "317",
"318", "319", "320", "321", "322", "323", "324", "325", "326",
"327", "328", "329", "330", "331", "332", "333", "334", "335",
"336", "337", "338", "339", "340", "341", "342", "343", "344",
"345", "346", "347", "348", "349", "350", "351", "352", "353",
"354", "355", "356", "357", "358", "359", "360", "361", "362",
"363", "364", "365", "366", "367", "368", "369", "370", "371",
"372", "373", "374", "375", "376", "377", "378", "379", "380",
"381", "382", "383", "384", "385", "386", "387", "388", "389",
"390", "391", "392", "393", "394", "395", "396", "397", "398",
"399", "400", "401", "402", "403", "404", "405", "406", "407",
"408", "409", "410", "411", "412", "413", "414", "415", "416",
"417", "418", "419", "420", "421", "422", "423", "424", "425",
"426", "427", "428", "429", "430", "431", "432", "433", "434",
"435", "436", "437", "438", "439", "440", "441", "442", "443",
"444", "445", "446", "447", "448", "449", "450", "451", "452",
"453", "454", "455", "456", "457", "458", "459", "460", "461",
"462", "463", "464", "465", "466", "467", "468", "469", "470",
"471", "472", "473", "474", "475", "476", "477", "478", "479",
"480", "481", "482", "483", "484", "485", "486", "487", "488",
"489", "490", "491", "492", "493", "494", "495", "496", "497",
"498", "499", "500", "501", "502", "503", "504", "505", "506",
"507", "508", "509", "510", "511", "512", "513", "514", "515",
"516", "517", "518", "519", "520", "521", "522", "523", "524",
"525", "526", "527", "528", "529", "530", "531", "532", "533",
"534", "535", "536", "537", "538", "539", "540", "541", "542",
"543", "544", "545", "546", "547", "548", "549", "550", "551",
"552", "553", "554", "555", "556", "557", "558", "559", "560",
"561", "562", "563", "564", "565", "566", "567", "568", "569",
"570", "571", "572", "573", "574", "575", "576", "577", "578",
"579", "580", "581", "582", "583", "584", "585", "586", "587",
"588", "589", "590", "591", "592", "593", "594", "595", "596",
"597", "598", "599", "600", "601", "602", "603", "604", "605",
"606", "607", "608", "609", "610", "611", "612", "613", "614",
"615", "616", "617", "618", "619", "620", "621", "622", "623",
"624", "625", "626", "627", "628", "629", "630", "631", "632",
"633", "634", "635", "636", "637", "638", "639", "640", "641",
"642", "643", "644", "645", "646", "647", "648", "649", "650",
"651", "652", "653", "654", "655", "656", "657", "658", "659",
"660", "661", "662", "663", "664", "665", "666", "667", "668",
"669", "670", "671", "672", "673", "674", "675", "676", "677",
"678", "679", "680", "681", "682", "683", "684", "685", "686",
"687", "688", "689", "690", "691", "692", "693", "694", "695",
"696", "697", "698", "699", "700", "701", "702", "703", "704",
"705", "706", "707", "708", "709", "710", "711", "712", "713",
"714", "715", "716", "717", "718", "719", "720", "721", "722",
"723", "724", "725", "726", "727", "728", "729", "730", "731",
"732", "733", "734", "735", "736", "737", "738", "739", "740",
"741", "742", "743", "744", "745", "746", "747", "748", "749",
"750", "751", "752", "753", "754", "755", "756", "757", "758",
"759", "760", "761", "762", "763", "764", "765", "766", "767",
"768", "769", "770", "771", "772", "773", "774", "775", "776",
"777", "778", "779", "780", "781", "782", "783", "784", "785",
"786", "787", "788", "789", "790", "791", "792", "793", "794",
"795", "796", "797", "798", "799", "800", "801", "802", "803",
"804", "805", "806", "807", "808", "809", "810", "811", "812",
"813", "814", "815", "816", "817", "818", "819", "820", "821",
"822", "823", "824", "825", "826", "827", "828", "829", "830",
"831", "832", "833", "834", "835", "836", "837", "838", "839",
"840", "841", "842", "843", "844", "845", "846", "847", "848",
"849", "850", "851", "852", "853", "854", "855", "856", "857",
"858", "859", "860", "861", "862", "863", "864", "865", "866",
"867", "868", "869", "870", "871", "872", "873", "874", "875",
"876", "877", "878", "879", "880", "881", "882", "883", "884",
"885", "886", "887", "888", "889", "890", "891", "892", "893",
"894", "895", "896", "897", "898", "899", "900", "901", "902",
"903", "904", "905", "906", "907", "908", "909", "910", "911",
"912", "913", "914", "915", "916", "917", "918", "919", "920",
"921", "922", "923", "924", "925", "926", "927", "928", "929",
"930", "931", "932", "933", "934", "935", "936", "937", "938",
"939", "940", "941", "942", "943", "944", "945", "946", "947",
"948", "949", "950", "951", "952", "953", "954", "955", "956",
"957", "958", "959", "960", "961", "962", "963", "964", "965",
"966", "967", "968", "969", "970", "971", "972", "973", "974",
"975", "976", "977", "978", "979", "980", "981", "982", "983",
"984", "985", "986", "987", "988", "989", "990", "991", "992",
"993", "994", "995", "996", "997", "998", "999", "1000"), c("V1",
"V2", "V3", "V4", "V5")))