On Mon, 27 Sep 2010, bo...@hsu-hh.de wrote:
Dear R-help list members,
I have the following question concerning the strucchange()-package: is it
possible to get the boundaries for one-sided (upper / lower) CUSUM and MOSUM
tests?
Not out of the box, at least not exactly. You can do this:
library("strucchange")
ocus <- efp(Nile ~ 1, type = "OLS-CUSUM")
plot(ocus, boundary = FALSE)
lines(boundary(ocus, 0.1), col = 2)
i.e., approximate the one-sided 5% boundary by the 10% two-sided boundary.
But, of course, this ignores the probability of multiple crossings (which
is low at conventional levels).
Using the function efpFunctional() you can also simulate the distribution
of arbitrary test statistics, including those corresponding to one-sided
boundaries. The result is intended for use with the function gefp().
Finally, for some of the boundaries, closed-form solutions are available
in "strucchange", e.g., for the boundary used above. To compute this a
series expansion is employed, only the first term of which is required for
the one-sided boundary. So if you take the necessary pieces from the
underlying code, you can also compute one-sided boundaries.
hth,
Z
Thank you in advance.
Julia
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