andrews_test_reg: Multivariate Andrews' Test for End-of-Sample Structural...

In ntguardian/CPAT: Change Point Analysis Tests

Description

This implements Andrews' test for end-of-sample change, as described by \insertCiteandrews03;textualCPAT. This test was derived for detecting a change in multivarate data, aso originally described. See \insertCiteandrews03CPAT for a description of the test.

Usage

andrews_test_reg(formula, data, M, pval = TRUE, stat = TRUE)

Arguments

formula	The regression formula, which will be passed to lm
data	data.frame containing the data
M	Numeric index of the location of the first potential change point
pval	If TRUE, return a p-value
stat	If TRUE, return a test statistic

Value

If both pval and stat are TRUE, a list containing both; otherwise, a number for one or the other, depending on which is TRUE

References

\insertAllCited

Examples

x <- rnorm(1000)
y <- 1 + 2 * x + rnorm(1000)
df <- data.frame(x, y)
CPAT:::andrews_test_reg(y ~ x, data = df, M = 900)

ntguardian/CPAT documentation built on May 22, 2019, 2:20 p.m.