Re: [R] Chow test(1960)/Structural change test

[Axel Leroix]

 
 
Thank your for your answer. I try to perform the Chow test with the formula as 
you suggest and it works. Nevertheless, I would like to ask additional 
questions please :
 
 
The first one is related to the early one that I have asked to my first message:
 
When I try to perform another structural change tests, in particular those ones 
which are based on the Fstats , I write the following code:
 
fsaveF <- Fstats(reg1, from = 7, to = 22, data = data1)
sctest(fsaveF, type = "aveF")
 
which give me the following results :
 
        aveF test
 
data:  fsaveF 
ave.F = 55.15, p-value = 4.329e-15
 
But when I try the same test with sctest(reg1 , type = "aveF", data = data), 
this does not work although reg1 is already known. When I replace reg1 by a ~ b 
+ c + d the test works.
When should I use the fitted model rather than the formula in a structural 
change test and vis versa ?  I precise that in my case reg1 correspond to a ~ 
b + c + d. 
 
Second question:
 
The structural change tests based on the generalized fluctuation test framework 
that I have performed (Rec-CUSUM and Rec-MOSUM) give me an opposite results (No 
structural change) with regard to F test framework (there is a structural 
change). How to deal with this contradiction? 
 
Third question:
 
Since I have autocorrelation in my regression, should I perform structural 
change test before or after correcting for autocorrelation?
 
Many thanks 

--- En date de : Dim 17.5.09, Achim Zeileis <achim.zeil...@wu-wien.ac.at> a 
écrit :


De: Achim Zeileis <achim.zeil...@wu-wien.ac.at>
Objet: Re: [R] Chow test(1960)/Structural change test
À: "Axel Leroix" <axel.ler...@yahoo.fr>
Cc: r-help@r-project.org
Date: Dimanche 17 Mai 2009, 23h22


On Sun, 17 May 2009, Axel Leroix wrote:

> Hi,
>  
> A question on something which normally should be easy !
>  
> I perform a linear regression using lm function:
>  
>> reg1 <- lm (a b+c+d, data = database1)
>  
> Then I try to perform the Chow (1960) test (structural change test) on my 
> regression. I know the breakpoint date. I try the following code like it is 
> described in the “Examples” section of the “strucchange” package :
>  
>> sctest(reg1, data = database1, type = "Chow",  point = 20, asymptotic = 
>> FALSE)

You just need the formula, not the fitted model:

sctest(a ~ b + c + d, data = database1, type = "Chow", point = 20)

If you want to perform it "by hand", then the following should work: 
fit the nested model and then perform the model comparison calling anova()
(or lrtest() from "lmtest" for the asymptotic version).

reg2 <- lm(a ~ factor(1:nrow(database1) <= 20) / (b + c + d),
   data = database1)

anova(reg1, reg2)

hth,
Z

>  
> Unfortunately, this does not work and I have the following error message:
>  
> Error in UseMethod("sctest") : No applied method for "sctest".
>  
> I guess that I should compute fs statistics first (Fisher statistics) but 
> I’m not sure about my guess. Moreover, in case my guess is true I do know 
> how to do it although I have read the package documentation!
> On the basis of this documentation I’m able to perform other structural 
> change test (CUSUM, MOSUM…) but I’m particularly interested in the Chow 
> (1960) test. So please is there someone who can help me in implementing it.
>  
> Many thanks in advance.
>  
>  
>
>
>
>     [[alternative HTML version deleted]]
>
>


      
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