1\name{stability} 2 3\alias{stability} 4\alias{stability.default} 5\alias{stability.varest} 6\alias{print.varstabil} 7 8\title{Structural stability of a VAR(p)} 9 10\encoding{latin1} 11 12\description{ 13 Computes an empirical fluctuation process according to a specified 14 method from the generalised fluctuation test framework. The test 15 utilises the function \command{efp()} and its methods from 16 package \sQuote{\code{strucchange}}. 17} 18 19\usage{ 20\method{stability}{default}(x, type = c("OLS-CUSUM", "Rec-CUSUM", 21"Rec-MOSUM", "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM", 22"fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE, ...) 23\method{stability}{varest}(x, type = c("OLS-CUSUM", "Rec-CUSUM", 24"Rec-MOSUM", "OLS-MOSUM", "RE", "ME", "Score-CUSUM", "Score-MOSUM", 25"fluctuation"), h = 0.15, dynamic = FALSE, rescale = TRUE, ...) 26} 27 28\arguments{ 29 \item{x}{Object of class \sQuote{\code{varest}}; generated by 30 \command{VAR()}.} 31 \item{type}{Specifies which type of fluctuation process will be 32 computed, the default is \sQuote{\code{OLS-CUSUM}}. For details see: 33 \code{\link[strucchange]{efp}}.} 34 \item{h}{A numeric from interval (0,1) sepcifying the 35 bandwidth. Determins the size of the data window relative to sample 36 size (for \sQuote{\code{MOSUM}} and \sQuote{\code{ME}} processes only).} 37 \item{dynamic}{Logical. If \sQuote{\code{TRUE}} the lagged 38 observations are included as a regressor.} 39 \item{rescale}{Logical. If \sQuote{\code{TRUE}} the estimates will be 40 standardized by the regressor matrix of the corresponding subsample; 41 if \sQuote{\code{FALSE}} the whole regressor matrix will be 42 used. (only if \sQuote{\code{type}} is either \sQuote{\code{RE}} or 43 \sQuote{\code{E}}).} 44 \item{...}{Ellipsis, is passed to \code{strucchange::sctest()}, as default.} 45} 46\details{ 47 For details, please refer to documentation \code{\link[strucchange]{efp}}. 48} 49 50\value{ 51 A list with class attribute \sQuote{\code{varstabil}} holding the 52 following elements:\cr 53 54 \item{stability}{A list with objects of class \sQuote{\code{efp}}; 55 length is equal to the dimension of the VAR.} 56 \item{names}{Character vector containing the names of the endogenous 57 variables.} 58 \item{K}{An integer of the VAR dimension.} 59} 60 61\author{Bernhard Pfaff} 62 63\references{ 64 Zeileis, A., F. Leisch, K. Hornik and C. Kleiber (2002), strucchange: 65 An R Package for Testing for Structural Change in Linear Regression 66 Models, \emph{Journal of Statistical Software}, \bold{7(2)}: 1-38, 67 \url{https://www.jstatsoft.org/v07/i02/} 68 69 and see the references provided in the reference section of 70 \code{\link[strucchange]{efp}}, too. 71} 72 73\seealso{ 74 \code{\link{VAR}}, \code{\link{plot}}, \code{\link[strucchange]{efp}} 75} 76 77\examples{ 78data(Canada) 79var.2c <- VAR(Canada, p = 2, type = "const") 80var.2c.stabil <- stability(var.2c, type = "OLS-CUSUM") 81var.2c.stabil 82\dontrun{ 83plot(var.2c.stabil) 84} 85} 86 87\keyword{regression} 88\concept{VAR} 89\concept{Vector autoregressive model} 90\concept{Structural Stability} 91\concept{efp} 92\concept{Empirical Fluctuation Process} 93 94 95