[R] strucchange Nyblom-Hansen Test?

buehlerman buehler.daniel at web.de
Sun Oct 9 14:16:38 CEST 2011


I want to apply Nyblom-Hansen test with the strucchange package, but I don't
know how is the correct way and what is the difference between the following
two approaches (leeding to different results):


data("longley")

# 1. Approach:
sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley,
type = "Nyblom-Hansen")

#results in:
#        Score-based CUSUM test with mean L2 norm
#
#data:  Employed ~ Year + GNP.deflator + GNP + Armed.Forces 
#f(efp) = 0.8916, p-value = 0.4395

#2. Approach:
sctest(gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data =
longley), functional = meanL2BB)

#results in:
#        M-fluctuation test
#
#data:  gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data =
longley) 
#f(efp) = 0.8165, p-value = 0.3924


I could not find any examples or further remarks of the first approach with
sctest(..., type = "Nyblom-Hansen").
Maybe the first approach is unlike the second no joint test for all
coefficients? 

Thank you in advance for your help!

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