vars (version 1.6-1)

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

# S3 method for default
stability(x, type = c("OLS-CUSUM", "Rec-CUSUM",
"Rec-MOSUM", "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM",
"fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE, ...)
# S3 method for varest
stability(x, type = c("OLS-CUSUM", "Rec-CUSUM",
"Rec-MOSUM", "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM",
"fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE, ...)

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.

Arguments

x

Object of class ‘varest’; generated by VAR().

type

Specifies which type of fluctuation process will be computed, the default is ‘OLS-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 ‘type’ is either ‘RE’ or ‘E’).

...

Ellipsis, is passed to strucchange::sctest(), as default.

Author

Bernhard Pfaff

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, https://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
if (FALSE) {
plot(var.2c.stabil)
}