BQ.test: Backward CUSUM R-test (retrospective)

In ottosven/backCUSUM: Backward CUSUM for Testing and Monitoring Structural Change

Backward CUSUM R-test (retrospective)

Description

Performs the multivariate backward CUSUM R-test (retrospective) with linear boundary

Usage

BQ.test(formula, alternative = c("two.sided", "greater", "less"), H = NULL)

Arguments

formula	Specification of the linear regression model by an object of the class "formula"
alternative	A character string specifying the alternative hypothesis; must be one of "two.sided" (default), "greater" or "less". The output detector is the maximum norm of BQ_t ("two.sided"), the maximum entry of BQ_t ("greater"), or maximum entry of -BQ_t ("less"), respectively.
H	An optional matrix for the partial hypothesis H'β_t = H'β_0, where H'BQ_t is considered instead of BQ_t. H must have orthonormal columns. For a test for a break in the intercept, H can also set to the string "intercept". The full structural break test is considered as the default setting (NULL).

Value

A list containing the following components:

detector	A vector containing the path of the detector statistic depending on the specificaton for the alternative hypothesis
boundary	A vector containing the values of the linear boundary function
detector.scaled	A vector containing the path of the detector divided by the boundary
statistic	The test statistic; maximum of detector.scaled
alternative	The specification for the alternative hypothesis
critical.value	A vector containing critical values for different significance levels; NA if critical value for this specification is not implemented
rejection	A logical vector containing the test decision for different significance levels; TRUE for rejection; NA if critical value is not implemented

Examples

T <- 100
u <- rnorm(T,0,1)
x <- rnorm(T,1,2)
y <- c(rep(0,T/2), rep(0.7,T/2)) + x + I(x^2) + u
BQ.test(y~1+x+I(x^2))
BQ.test(y~1+x+I(x^2), alternative = "greater")
H <- matrix(c(1,0,0), ncol = 1)
BQ.test(y~1+x+I(x^2), H = H)

ottosven/backCUSUM documentation built on April 12, 2022, 10:59 p.m.