lmtest (version 0.2-2)

custest: CUSUM-Test

Description

custest performs the CUSUM-Tests against structural change. This test is based on recursive residuals and returns a random walk.

Usage

custest(formula, data=list())

Arguments

formula

a symbolic describtion for the model to be tested

data

an optional data frame containing the variables in the model. By default the variables are taken from the environment which 'custest' is called from

Value

• A vector containing the random-walk.

References

Kraemer, W., Sonnberger, H. (1986): The linear regression model under test

See Also

lm

Examples

# generate regressor
x <- c(1:30)
# generate a structural change
y <- c(1*x[1:10], 3*x[11:30]) + rnorm(30,0,1)
# perform CUSUM-Test
rw <- custest(y ~x -1)
# plot random walk
plot(rw)