[R] struccchange on zoo time series

[Eric Berger]

Hi Naresh,
The tsbox package on CRAN -
https://cran.r-project.org/web/packages/tsbox/index.html - has the
following description:

tsbox: Class-Agnostic Time Series

Time series toolkit with identical behavior for all time series
classes: 'ts','xts', 'data.frame', 'data.table', 'tibble', 'zoo',
'timeSeries', 'tsibble', 'tis' or 'irts'. Also converts reliably
between these classes.

Hopefully this will provide you the necessary tools to solve your problem.

Good luck,
Eric



On Sun, May 1, 2022 at 3:37 PM Naresh Gurbuxani
<naresh_gurbuxani using hotmail.com> wrote:
>
> I am trying to replicate empirical fluctuation process fit (efp) described in the book "Applied Econometrics with R".  This fit works when data input is an object of class ts, but not when data input is object of class zoo.  I prefer to use zoo because it provides better housekeeping with dates.  Is it possible to achieve the fit with zoo?
>
> library(AER)
> library(strucchange)
>
> data(UKDriverDeaths)
> dd <- log(UKDriverDeaths)
> dd.z <- zoo(dd, order.by = as.yearmon(time(dd)))
> dd.z <- merge(dd = dd.z, dd.lag1 = lag(dd.z, k = -1),
>               dd.lag12 = lag(dd.z, k = -12))
>
> # Does not work
> dd.ocus <- efp(dd ~ dd.lag1 + dd.lag12, data = na.trim(dd.z),
>                type = "OLS-CUSUM")
> # Error message
> # Error in eval(attr(mt, "variables")[[2]], data, env) :
> # numeric 'envir' arg not of length one
>
> # Works
> dd.ocus <- efp(dd ~ dd.lag1 + dd.lag12, data = ts(na.trim(dd.z)),
>                type = "OLS-CUSUM")
>
> # But time stamps are lost
> plot(dd.ocus)
> # Time indexed from 0 to 180
>
> Thanks,
> Naresh
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