## File: sctest.formula.Rd

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strucchange 1.5-1-2
 1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253545556575859606162636465666768697071727374757677787980818283848586878889 \name{sctest.formula} \alias{sctest.formula} \title{Structural Change Tests in Linear Regression Models} \description{Performs tests for structural change in linear regression models.} \usage{ \method{sctest}{formula}(formula, type = , h = 0.15, alt.boundary = FALSE, functional = c("max", "range", "maxL2", "meanL2"), from = 0.15, to = NULL, point = 0.5, asymptotic = FALSE, data, ...) } \arguments{ \item{formula}{a formula describing the model to be tested.} \item{type}{a character string specifying the structural change test that is to be performed, the default is \code{"Rec-CUSUM"}. Besides the test types described in \code{\link{efp}} and \code{\link{sctest.Fstats}} the Chow test and the Nyblom-Hansen test can be performed by setting type to \code{"Chow"} or \code{"Nyblom-Hansen"}, respectively.} \item{h}{numeric from interval (0,1) specifying the bandwidth. Determines the size of the data window relative to the sample size (for MOSUM and ME tests only).} \item{alt.boundary}{logical. If set to \code{TRUE} alternative boundaries (instead of the standard linear boundaries) will be used (for CUSUM processes only).} \item{functional}{indicates which functional should be used to aggregate the empirical fluctuation processes to a test statistic.} \item{from, to}{numeric. If \code{from} is smaller than 1 they are interpreted as percentages of data and by default \code{to} is taken to be the 1 - \code{from}. F statistics will be calculated for the observations \code{(n*from):(n*to)}, when \code{n} is the number of observations in the model. If \code{from} is greater than 1 it is interpreted to be the index and \code{to} defaults to \code{n - from}. (for F tests only)} \item{point}{parameter of the Chow test for the potential change point. Interpreted analogous to the \code{from} parameter. By default taken to be \code{floor(n*0.5)} if \code{n} is the number of observations in the model.} \item{asymptotic}{logical. If \code{TRUE} the asymptotic (chi-square) distribution instead of the exact (F) distribution will be used to compute the p value (for Chow test only).} \item{data}{an optional data frame containing the variables in the model. By default the variables are taken from the environment which \code{sctest} is called from.} \item{...}{further arguments passed to \code{\link{efp}} or \code{\link{Fstats}}.} } \details{ \code{sctest.formula} is a convenience interface for performing structural change tests in linear regression models based on \code{\link{efp}} and \code{\link{Fstats}}. It is mainly a wrapper for \code{\link{sctest.efp}} and \code{\link{sctest.Fstats}} as it fits an empirical fluctuation process first or computes the F statistics respectively and subsequently performs the corresponding test. The Chow test and the Nyblom-Hansen test are available explicitly here. An alternative convenience interface for performing structural change tests in general parametric models (based on \code{\link{gefp}}) is available in \code{\link{sctest.default}}. } \value{ An object of class \code{"htest"} containing: \item{statistic}{the test statistic,} \item{p.value}{the corresponding p value,} \item{method}{a character string with the method used,} \item{data.name}{a character string with the data name.} } \seealso{\code{\link{sctest.efp}}, \code{\link{sctest.Fstats}}, \code{\link{sctest.default}}} \examples{ ## Example 7.4 from Greene (1993), "Econometric Analysis" ## Chow test on Longley data data("longley") sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley, type = "Chow", point = 7) ## which is equivalent to segmenting the regression via fac <- factor(c(rep(1, 7), rep(2, 9))) fm0 <- lm(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley) fm1 <- lm(Employed ~ fac/(Year + GNP.deflator + GNP + Armed.Forces), data = longley) anova(fm0, fm1) ## estimates from Table 7.5 in Greene (1993) summary(fm0) summary(fm1) } \keyword{htest}