mihaela
2009-Jun-28 13:52 UTC
[R] testing an ARFIMA model for structural breaks with unknown breakpoint
Dear R users, I'm trying to use the "strucchange" package to determine structural breaks in an ARFIMA model. Unfortunately I'm not so familiar with this topic (and worse, I'm a beginner in R), so I don't know exactly how to specify my model so that the "Fstats","sctest" and "breakpoint" functions to recognize it and to calculate the potentially breakpoints. Could anyone give me a sugestion? I tried, however, (following the example specified in R Help) the functions: fs.x <- Fstats(x ~ 1)) sctest(fs.x) plot(fs.x) breakpoints(fs.x) But I understand that this example only test for a sudden change in the mean of the series. Anyway, I have another problem related to the example above mentioned. My series is a "numeric" class (I only have one column with daily returns) an therefore I get the following error related to breakdates:> breakpoints(fs.x)Optimal 2-segment partition: Call: breakpoints.Fstats(obj = fs.x) Breakpoints at observation number: 2441 Corresponding to breakdates: Error in if (format.times) breakdates <- format.time(breakdates, obj$datatsp[3]) : argument is of length zero So, I added to my returns column a new column containing the Date and my file to be imported looks like: date return 9/22/1997 -0.890957263 9/23/1997 -1.505530482 9/24/1997 -4.234587983 9/25/1997 0.385007594 ............................................ I tried to convert the new data in a "zoo" object or "ts" , but after this the functions in the strucchange package don't work anymore.. Moreover, the "irts" function to create an irregular time-series object does not seems to work. Any help would be highly appreciated ! Thank you in advance, M. -- View this message in context: http://www.nabble.com/testing-an-ARFIMA-model-for-structural-breaks-with-unknown-breakpoint-tp24241675p24241675.html Sent from the R help mailing list archive at Nabble.com.
Achim Zeileis
2009-Jun-28 14:03 UTC
[R] testing an ARFIMA model for structural breaks with unknown breakpoint
On Sun, 28 Jun 2009, mihaela wrote:> > Dear R users, > > I'm trying to use the "strucchange" package to determine structural breaks > in an ARFIMA model.ARFIMA models are not supported in "strucchange" at the moment. They typically require a different asymptotic theory due to the fractional integration.> Unfortunately I'm not so familiar with this topic (and worse, I'm a beginner > in R), so I don't know exactly how to specify my model so that the > "Fstats","sctest" and "breakpoint" functions to recognize it and to > calculate the potentially breakpoints. > Could anyone give me a sugestion? > > I tried, however, (following the example specified in R Help) the functions: > > fs.x <- Fstats(x ~ 1)) > sctest(fs.x) > plot(fs.x) > breakpoints(fs.x) > > But I understand that this example only test for a sudden change in the mean > of the series. > > Anyway, I have another problem related to the example above mentioned. My > series is a "numeric" class (I only have one column with daily returns) an > therefore I get the following error related to breakdates:If you transform x to a "ts" object, in the simplest case x <- ts(x) this error should not occur.>> breakpoints(fs.x) > > Optimal 2-segment partition: > > Call: > breakpoints.Fstats(obj = fs.x) > > Breakpoints at observation number: > 2441 > > Corresponding to breakdates: > Error in if (format.times) breakdates <- format.time(breakdates, > obj$datatsp[3]) : > argument is of length zero > > > So, I added to my returns column a new column containing the Date and my > file to be imported looks like: > > date return > 9/22/1997 -0.890957263 > 9/23/1997 -1.505530482 > 9/24/1997 -4.234587983 > 9/25/1997 0.385007594 > ............................................ > > I tried to convert the new data in a "zoo" object or "ts" , but after this > the functions in the strucchange package don't work anymore.."zoo" is not supported yet, unfortunately, but "ts" is. Z> Moreover, the "irts" function to create an irregular time-series object does > not seems to work. > > Any help would be highly appreciated ! > > > Thank you in advance, > M. > -- > View this message in context: http://www.nabble.com/testing-an-ARFIMA-model-for-structural-breaks-with-unknown-breakpoint-tp24241675p24241675.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > >