[R] testing an ARFIMA model for structural breaks with unknown breakpoint

[mihaela]

Thanks for your reply.
Is there other package which could help me in this regard? Or simply I can't
do this in R?

Regarding "ts" object, I try:

s<-read.csv("C:/data.csv",header=TRUE)
x<-ts(s)
fs.x <- Fstats(x ~1)

and I get the following error:

> fs.x <- Fstats(x ~1)
Error in as.matrix(X[((point[i] + 1):n), ]) : subscript out of bounds

and I don't know how to read my data so the output to indicate the breakdate
also, not just the breakpoint, and to plot the results.. 
 
Thanks,
M.


Achim Zeileis wrote:
> 
> On Sun, 28 Jun 2009, mihaela wrote:
> 
>>
>> Dear R users,
>>
>> I'm trying to use the "strucchange" package to determine structural
>> breaks
>> in an ARFIMA model.
> 
> ARFIMA models are not supported in "strucchange" at the moment. They 
> typically require a different asymptotic theory due to the fractional 
> integration.
> 
>> Unfortunately I'm not so familiar with this topic (and worse, I'm a
>> beginner
>> in R), so I don't know exactly how to specify my model so that the
>> "Fstats","sctest" and "breakpoint" functions to recognize it and to
>> calculate the potentially breakpoints.
>> Could anyone give me a sugestion?
>>
>> I tried, however, (following the example specified in R Help) the
>> functions:
>>
>> fs.x <- Fstats(x ~ 1))
>> sctest(fs.x)
>> plot(fs.x)
>> breakpoints(fs.x)
>>
>> But I understand that this example only test for a sudden change in the
>> mean
>> of the series.
>>
>> Anyway, I have another problem related to the example above mentioned. My
>> series is a "numeric" class (I only have one column with daily returns)
>> an
>> therefore I get the following error related to breakdates:
> 
> If you transform x to a "ts" object, in the simplest case
>    x <- ts(x)
> this error should not occur.
> 
>>> breakpoints(fs.x)
>>
>>         Optimal 2-segment partition:
>>
>> Call:
>> breakpoints.Fstats(obj = fs.x)
>>
>> Breakpoints at observation number:
>> 2441
>>
>> Corresponding to breakdates:
>> Error in if (format.times) breakdates <- format.time(breakdates,
>> obj$datatsp[3]) :
>>  argument is of length zero
>>
>>
>> So, I added to my returns column a new column containing the Date and my
>> file to be imported looks like:
>>
>> date	                return
>> 9/22/1997	-0.890957263
>> 9/23/1997	-1.505530482
>> 9/24/1997	-4.234587983
>> 9/25/1997	0.385007594
>> ............................................
>>
>> I tried to convert the new data in a "zoo" object or  "ts" , but after
>> this
>> the functions in the strucchange package don't work anymore..
> 
> "zoo" is not supported yet, unfortunately, but "ts" is.
> Z
> 
>> Moreover, the "irts" function to create an irregular time-series object
>> does
>> not seems to work.
>>
>> Any help would be highly appreciated !
>>
>>
>> Thank you in advance,
>> M.
>> -- 
>> View this message in context:
>> http://www.nabble.com/testing-an-ARFIMA-model-for-structural-breaks-with-unknown-breakpoint-tp24241675p24241675.html
>> Sent from the R help mailing list archive at Nabble.com.
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 

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