[R] Function Fstats and p value
Peter Ehlers
ehlers at ucalgary.ca
Fri Feb 12 14:19:52 CET 2010
sebastien wrote:
> Hello,
>
> I used the function Fstats (in the package strucchange) and would like to
> transform the F probability given by Fstats in P value. This transformation
> can be made while making a plot, but I need to have the numerical P value
> which are ploted... and I can't find out how to do.
>
You can look inside the plot.Fstats function with
strucchange:::plot.Fstats
There you will find the equivalent of the following:
k <- fs$nreg
n <- fs$nobs
x <- fs$Fstats
pvals <- 1 - pf(x, k, (n - 2 * k))
which gives you the P-values.
-Peter Ehlers
> Here a is an exemple, to plot the P value.
>
> let's take data as a array
>
> fs <-fstats(data ~ 1, from = 4, to = length(data)-4)
> plot(fs,pval=TRUE)
>
> Thank you for your help,
> Seb
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