similar to: One-sided CUSUM / MOSUM Tests?

Hello all, could anyone explain the exact meaning of parameter nproc? Why different values of nproc give so different critical values, i.e. meanL2BB$computeCritval(0.05,nproc=3) [1] 0.9984853 meanL2BB$computeCritval(0.05,nproc=1) [1] 0.4594827 The strucchange-package description gives "integer specifying for which number of processes Brownian motions should be simulated" - do I need

I want to apply Nyblom-Hansen test with the strucchange package, but I don't know how is the correct way and what is the difference between the following two approaches (leeding to different results): data("longley") # 1. Approach: sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley, type = "Nyblom-Hansen") #results in: # Score-based CUSUM

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

Hello, I am looking for some help with this question: how could I test structural breaks in a instrumental variables´s model? For example, I was trying to do something with my model with three time series. 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,

Hello, I am just studying the following example from vignette: strucchange-intro, contineousely ending up in an error. This is the given code: 1. library(strucchange) 2. data(USIncExp) 3. if (!"package:stats" %in% search()) library(ts) 4. USIncExp2 <- window(USIncExp, start = c(1985, 12)) A.Modelling: coint.res <- residuals(lm(expenditure ~ income, data = USIncExp2))

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

Hi,   A question on something which normally should be easy !   I perform a linear regression using lm function:   > reg1 <- lm (a b+c+d, data = database1)   Then I try to perform the Chow (1960) test (structural change test) on my regression. I know the breakpoint date. I try the following code like it is described in the “Examples” section of the “strucchange” package :   > sctest(reg1,

Good morning, we recently observed a problem with importing S3 generics from a foreign package (without namespace), defining a S3 method in a package _with_ namespace and the `cleanEx()' function which is automatically generated and executed before examples are run by R CMD check. To be more precise. Package `strucchange' defines a S3 generic sctest <- function(x, ...)

Dear useRs, the strucchange package for testing for structural change has been updated: the current version is 1.2-4. The most significant additions were two functions gefp() and efpFunctional(). gefp() implements a class of generalized M-fluctuation tests for testing for parameter instability or structural change in general parametric models including generalized linear models (GLMs).

Dear useRs, the strucchange package for testing for structural change has been updated: the current version is 1.2-4. The most significant additions were two functions gefp() and efpFunctional(). gefp() implements a class of generalized M-fluctuation tests for testing for parameter instability or structural change in general parametric models including generalized linear models (GLMs).

Hello, to understand better how efpFunctional works, I'm trying to construct my own functionals. But concerning already existing functionals I have some questions. With maxBB it is clear: functional = list(comp = function(x) max(abs(x)), time = max), with rangeBB: functional = list(time = function(x) max(x)-min(x), comp = max), with meanL2BB, if I understood correctly: functional =

Hello, I am trying to conduct a time series analysis on historic hydrologic data, but I cannot coerce it into class ts because it does not have regular sampling intervals (some years have 20 samples, other have 8). Specifically I am trying to perform a CUSUM or or other step change detection, but the packages all seem to require data as ts. Is there a way to coerce my data into ts while

Hello, we want to identify breakpoints (different phases) in environmental data, algae cell counts of three years with intervals between 7 and 30 days (N=40). We found that breakpoints(cells ~1) works great and identifies 5 very good breaks, however we are uncertain about these, because the data are unequally spaced. Is there a way to include the information about the measurement intervals,

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) The problem is that the breaks package only appears to offer the standard 'unsquared' CUSUM, even though it appears most think it is inferior to the squared version. It might appear to be a relatively simple

Dear friends: I have just read an article entitled " Monitoring of nosocomial invasive aspergillosis and early evidence of an outbreak using cumulative sum tests (CUSUM)", which is published in "Clinical Microbiology and Infection". We have great need to estimate the fluctuation of incidence of IFI in our hospital. But I don't know the details of the stastical method and

Good Afternoon, I am currently writing a program to perform a cusum with v-mask and since I am experiencing a few problems, was wondering if there is something similar in existance? Many thanks in advance, Gavin McCabe Gavin McCabe University of Strathclyde Department of Statistics & Modelling Science Livingstone Tower (Rm. L7.47) 26 Richmond Street GLASGOW G1 1XH U.K. Tel.: +44

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

I need to write a C# program to create and display Cusum chart from any of the packages, spc, qcc or strucchange. Issues: 1-The data resides in a MS SQL Database. The C# program will handle obtaining the data for the requisite types of samples. Assistance needed on: 1-How can I call the cusum capabilities of any of the above packages and pass the data to the cusum function and plot? 2-How

Dear R Community: I am working on a public health early warning system, and I see that the qcc package allows for CUSUM and other statistical quality tests but I am not sure if my project is a good match for qcc functions as written. Any advice you may have is very much appreciated. I have four years worth of daily counts of emergency room admissions for different conditions (e.g. respiratory,

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