search for: supf

...Now, I am thinking of using the strucchange package with panel data (about 500 firms, with 73 monthly time series observations each). For each firm, I have to conduct the Fstats and breakpoints tests. Based on the test of each firm, I have to output a table/histogram with the number of times each SupF test is significant and the frequency that a breakpoint is observed in each of the 73 months. In summary, I have to conduct the Fstats/breakpoint test 500 times and summarize the results. I have the 500 firms with 73 observations (approx 36,500 observations) stacked in one data file. Is there a...

Hello R-users! I tried to find a package to run a CHOW TEST. As a reference package I found the STRUCCHANGE package. Do you know if it works well otherwise can you recommend a different one? Thanks, Bernd -- View this message in context: http://www.nabble.com/Chow-Test-tf3878416.html#a10990270 Sent from the R help mailing list archive at Nabble.com.

...firstob+(rf-1)*inc,inc)) plot(xx,out$f,type="l",ylim=ytics,lty=1,col=1,ann=0) lines(xx,crit[,1],lty=2,col=2) lines(xx,crit[,2],lty=3,col=3) lines(xx,crit[,3],lty=4,col=4) title(main=mtit,ylab=ytit,xlab=xtit) legend("topright",c("F Statistic Sequence","5% Critical, SupF", "5% Critical, MeanF","5% Critical, Known Break"),lty=c(1,2,3,4),col=c(1,2,3,4)) } }

...number of breaks to make inference. To allow this BP have introduced two tests of the null hypothesis of no structural break against an unknown number of breaks given some upper bound M. These are called the double maximum tests; c) BP proposed a test for l versus l+1 breaks, labelled supFT (l+1/ l). The method amounts to the application of (l+1) tests of the null hypothesis of no structural change versus the alternative hypothesis of a single change. Questions: 1) I think it is possible to make a) and b) in the strucchange package. In a) one would simply make call of F...