search for: efp

...erent results): data("longley") # 1. Approach: sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley, type = "Nyblom-Hansen") #results in: # Score-based CUSUM test with mean L2 norm # #data: Employed ~ Year + GNP.deflator + GNP + Armed.Forces #f(efp) = 0.8916, p-value = 0.4395 #2. Approach: sctest(gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley), functional = meanL2BB) #results in: # M-fluctuation test # #data: gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley) #f(efp) = 0.8165, p-valu...

...S3method(sctest, mob) Creating a `mob' object and running `sctest' on it works fine. However, when we attach `party' and run `cleanEx()', the `sctest' method for `mob' is no longer found. Before `cleanEx()' we get R> methods(sctest) [1] sctest.Fstats sctest.efp sctest.formula sctest.gefp sctest.mob* and afterwards R> methods(sctest) [1] sctest.Fstats sctest.efp sctest.formula sctest.gefp is missing. Debugging `cleanEx()' shows that those objects are removed from the global environment: ls(envir = env, all.names = TRUE) [1] ".Ra...

...what eval is looking for in vain: diff.expenditure colnames(USIncExp2) <- c("income","expenditure","diff.income","diff.expenditure","coint.res") B. Error correction formula ecm.model <- diff.expenditure ~ coint.res + diff.income C. Using EFP (OLS) test function ocus <- efp(ecm.model, type = "OLS-CUSUM", data = USIncExp2) or me <- efp(ecm.model, type = "ME", data = USIncExp2, h = 0.2) Both commads under C give me : ------------------------------------------------------------------- Error in eval(expr, env...

...tax_ivreg <- ivreg(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2, -2)+ lag(l_x1, -1)+lag(l_x1, -2)+lag(l_y, -1)+lag(l_y, -2), data=tax1) summary(tax_ivreg) ## after estimating it, something weird happened with the several tests in package "strucchange". For example: cusum <- efp(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2, -2)+ lag(l_x1, -1)+lag(l_x1, -2)+lag(l_y, -1)+lag(l_y, -2), data=tax1, type="OLS-CUSUM") sctest(cusum) plot(cusum) coef(cusum, breaks=2) ## And: cusum <- efp(tax_ivreg, data=tax1, type="OLS-CUSUM") sctest(cusum) plot(cusum)...

...The strucchange-package description gives "integer specifying for which number of processes Brownian motions should be simulated" - do I need nproc-dimensional Brownian bridge? Thank you in advance! Julia -- View this message in context: http://r.789695.n4.nabble.com/nproc-parameter-in-efpFunctional-tp3972419p3972419.html Sent from the R help mailing list archive at Nabble.com.

Hi, does anybody know of a nice test to detect trend turning points in time series? Possibly with reference? Thanks, joerg

Hello R users: I'm trying now to apply the package strucchange to see whether there is a structural change in linear regression. I have noted the following problem that arises in my case with recursive-based CUSUM: generic function recresid() in efp() generates an error, since (probably) it cannot compute the inverse matrix of (X^(i-1)^T)*(X^(i-1)) at each step (i-1), because the matrix (X^(i-1)^T)*(X^(i-1)) does not have full rank for all i (X consists of dummy variables). Does any solution of this problem exist (for example, to replace...

Does anyone know where I can get R code for plotting the Brown , Durbin and Evans cumsum procedure ( 1975 ) ? I wrote my own code but I am a little worried that my confiodence bands may not be correct ( I find the formula in the original paper confusing and S+Finmetrics has a formula but that formula implies that there should be 4 lines as far as I can tell ) so I would like to see someone

Greetings - Am hoping to use the strucchange package to look for structural breaks in some messy regression data. A series of preliminary analyses indicate that BLUE for these data will involve some weighting the data (estimates of a particular population parameter) by a function of the variance of the estimate (say, inverse of the variance). While I've gone through the docs for

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? Thank you in advance. Julia

Hi, This is a proof of concept of GPU forwarding for Linux guest on Linux host. I'd like to get comments and suggestions from community before I put more time on it. To summarize what it is: 1. It's a solution to bring GPU acceleration for Linux vm guest on Linux host. It could works with different GPU although the current proof of concept only works with Intel GPU. 2. The basic idea

Good morning to all, I am encountering a blocking issue when using the function 'breackpoints' from package 'strucchange'. *Context:* I use a data frame, 248 observations of 5 variables, no NA. I compute a linear model, as y~x1+...+x4 x4 is a dummy variable (0 or 1). I want to check this model for structural changes. *Process & issues:* *First, I used function Fstats.* It

Dear [R] people, I am looking for a method to test if there are any changes (jump points) in a time series data set or not. If there are, I would like to identify the jump points. All the data is available from the beginning so an offline method could be used. The current data set that I have could be seen as a time series with five almost equally sized segments that stands out to have different

depends on "autoconf: regenerate configure scripts with 4.4 version" This series removes some of the really old deadwood from the tools build and makes some other things which are on their way out configurable at build time with a default depending on how far down the slope I judge them to be. * nuke in tree copy of libaio * nuke obsolete tools: xsview, miniterm, lomount & sv *