vars (version 1.1-9)

stability: Structural stability of a VAR(p)

Description

Computes an empirical fluctuation process according to a specified method from the generalised fluctuation test framework. The test utilises the function efp() and its methods from package strucchange.

Usage

stability(x, type = c("Rec-CUSUM", "OLS-CUSUM", "Rec-MOSUM",
"OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM",
"fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE)

Arguments

x

Object of class varest; generated by VAR().

type

Specifies which type of fluctuation process will be computed, the default is Rec-CUSUM. For details see: efp.

h

A numeric from interval (0,1) sepcifying the bandwidth. Determins the size of the data window relative to sample size (for MOSUM and ME processes only).

dynamic

Logical. If TRUE the lagged observations are included as a regressor.

rescale

Logical. If TRUE the estimates will be standardized by the regressor matrix of the corresponding subsample; if FALSE the whole regressor matrix will be used. (only if

Value

• A list with class attribute varstabil holding the following elements:
• stability
  A list with objects of class efp; length is equal to the dimension of the VAR.
• names
  Character vector containing the names of the endogenous variables.
• K
  An integer of the VAR dimension.

encoding

latin1

concept

• VAR
• Vector autoregressive model
• Structural Stability
• efp
• Empirical Fluctuation Process

Details

For details, please refer to documentation efp.

References

Zeileis, A., F. Leisch, K. Hornik and C. Kleiber (2002), strucchange: An R Package for Testing for Structural Change in Linear Regression Models, Journal of Statistical Software, 7(2): 1-38, http://www.jstatsoft.org/v07/i02/ and see the references provided in the reference section of efp, too.

See Also

VAR, plot, efp

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
var.2c.stabil <- stability(var.2c, type = "OLS-CUSUM")
var.2c.stabil
plot(var.2c.stabil)