On Tue, 11 Jan 2005 13:10:51 +0000 Rick Ram wrote: > Dear all, > > Does anyone know where there is R or S code for the CUSUM SQUARED > structural breaks approach? (Brown, Durban and Evans, 1975 - used in > Pesaran and Timmerman, 2002)
Not to my knowledge. > The problem is that the breaks package I guess you're referring to the strucchange package. There is no package breaks, at least not on CRAN. > only appears to offer the > standard 'unsquared' CUSUM, even though it appears most think it is > inferior to the squared version. Yes, it's part of the folklore that one should use the CUSUM of squares rather than the CUSUM test. However, in many scenarios one wouldn't want to use either test. The BDE CUSUM test is good when you want to know when 1-step ahead predictions start to break down (and that works only if the break occurs early in the sample period). The CUSUM of squares test is more appropriate if you want to detect changes in the variance (rather than the conditional mean). For both problems (breaks in the mean / breaks in the variance) there are other tests which are usually more appropriate than the BDE CUSUM or CUSUM of squares test which is why I haven't implemented the latter. (But, of course, no test can be uniformly superior due to the vast alternative.) > It might appear to be a relatively > simple problem - just use the recursive residuals function, square > them and then take the cumulative sum. But the problem is that the > normalisation and calculation of confidence levels is completely > different. Yes. Computing the CUSUM of square process is straightforward using the recresid() methods. To obtain critical values, you will either have to simulate them or use the tabulated values referenced in BDE from Durbin (1969). But depending on the model and hypothesis you want to test, another technique than CUSUM of squares might be more appropriate and also available in strucchange. hth, Z > Any help or pointers about where to look would be more than > appreciated! Hopefully I have just missed obvious something in the > package... > > Many thanks, > > Rick R. > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
