[R] multiple break in univariate series

[Bert Gunter]

Once you have looked at the data and chosen change points to test
based on the data, the tests for change points are invalid (unless you
make appropriate adjustments for post hoc tests).

And no, I am not making this up. Consult any competent statistician.

Cheers,
Bert





Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374

"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
Clifford Stoll




On Sat, Mar 28, 2015 at 5:52 PM, Uwe Ligges
<ligges at statistik.tu-dortmund.de> wrote:
>
>
> On 29.03.2015 00:09, Temel İspanyolca wrote:
>>
>>
>>     DR. UWE LIGGES
>>
>>
>> I have sent turkish real Gdp data (1998-2013) in annex.
>> Turkey has lived two crises in this period, in 2001 and 2008. You can
>> see in data.
>> My problem is to indicate these dates any statistic test as a structural
>> change or point change.
>
>
> Have you tried CUSUM? Or some permutations test? You do not have muh data
> ....
>
> Best,
> Uwe Ligges
>
>
>
>>
>> Sincerely
>> Engin
>>
>> 2015-03-28 23:04 GMT+01:00 Uwe Ligges <ligges at statistik.tu-dortmund.de
>> <mailto:ligges at statistik.tu-dortmund.de>>:
>>
>>             -------- Forwarded Message --------
>>             Subject: [R] multiple break in univariate series
>>             Date: Sat, 28 Mar 2015 00:41:35 +0100
>>             From: Temel İspanyolca <ispanyolcom at gmail.com
>>             <mailto:ispanyolcom at gmail.com>>
>>             To: R-help at r-project.org <mailto:R-help at r-project.org>
>>
>>             Hello
>>             Any one knows multiple break test for univariate series ?
>>
>>
>>
>>     Which kind of breaks? shift?
>>
>>     You may want to look for CUSUM or MOSUM tests or even permutation
>> tests.
>>
>>     Packages: strucchange, changepoint
>>
>>     http://cran.r-project.org/web/__packages/changepoint/index.__html
>>     <http://cran.r-project.org/web/packages/changepoint/index.html>
>>
>>     http://cran.r-project.org/web/__packages/strucchange/index.__html
>>     <http://cran.r-project.org/web/packages/strucchange/index.html>
>>
>>     Best,
>>     Uwe Ligges
>>
>>
>>
>>
>>             --
>>             *Thanks*
>>             Engin YILMAZ
>>
>>                       [[alternative HTML version deleted]]
>>
>>             ________________________________________________
>>             R-help at r-project.org <mailto:R-help at r-project.org> mailing
>>             list -- To UNSUBSCRIBE and more, see
>>             https://stat.ethz.ch/mailman/__listinfo/r-help
>>             <https://stat.ethz.ch/mailman/listinfo/r-help>
>>             PLEASE do read the posting guide
>>             http://www.R-project.org/__posting-guide.html
>>             <http://www.R-project.org/posting-guide.html>
>>             and provide commented, minimal, self-contained, reproducible
>>             code.
>>
>>
>>
>>
>>
>> --
>> *Saygılarımla*
>> Engin YILMAZ
>
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.