svars: stability – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

stability

Structural stability of a VAR(p)

Description

Computes an empirical fluctuation process according to a specified method from the generalized fluctuation test framework. The test utilises the function efp() and its methods from package ‘strucchange’. Additionally, the function provides the option to compute a multivariate chow test.

Usage

## S3 method for class 'varest'
stability(
  x,
  type = c("OLS-CUSUM", "Rec-CUSUM", "Rec-MOSUM", "OLS-MOSUM", "RE", "ME",
    "Score-CUSUM", "Score-MOSUM", "fluctuation", "mv-chow-test"),
  h = 0.15,
  dynamic = FALSE,
  rescale = TRUE,
  ...
)

Arguments

`x`	Object of class ‘`varest`’; generated by `VAR()`.
`type`	Specifies which type of fluctuation process will be computed, the default is ‘`OLS-CUSUM`’. For details see:`efp` and `chow.test`.
`h`	A numeric from interval (0,1) specifying the bandwidth. Determines the size of the data window relative to sample size (for ‘`MOSUM`’, ‘`ME`’ and ‘`mv-chow-test`’ only).
`dynamic`	Logical. If ‘`TRUE`’ the lagged observations are included as a regressor (not if ‘`type`’ is ‘`mv-chow-test`’).
`rescale`	Logical. If ‘`TRUE`’ the estimates will be standardized by the regressor matrix of the corresponding subsample; if ‘`FALSE`’ the whole regressor matrix will be used. (only if ‘`type`’ is either ‘`RE`’ or ‘`E`’).
`...`	Ellipsis, is passed to `strucchange::sctest()`, as default.

Details

For details, please refer to documentation efp and chow.test.

Value

A list with either class attribute ‘varstabil’ or ‘chowpretest’ holding the following elements in case of class ‘varstabil’:

`stability`	A list with objects of class ‘`efp`’; length is equal to the dimension of the VAR.
`names`	Character vector containing the names of the endogenous variables.
`K`	An integer of the VAR dimension.

In case of class ‘chowpretest’ the list consists of the following elements:

`teststat_bp`	A vector containing the calculated break point test statistics for all considered break points.
`teststat_sp`	A vector containing the calculated sample split test statistics for all considered sample splits.
`from`	An integer sepcifying the first observation as possible break date.
`to`	An integer sepcifying the last observation as possible break date.
`var`	A list with objects of class ‘`varest`’
`break_point`	Logical, if the break point test should be the benchmark for later analysis.

Author(s)

Bernhard Pfaff, Alexander Lange, Bernhard Dalheimer, Simone Maxand, Helmut Herwartz

References

Zeileis, A., F. Leisch, K. Hornik and C. Kleiber (2002), strucchange: An R Package for Testing for Structural Change in Linear Regression Models, Journal of Statistical Software, 7(2): 1-38, https://www.jstatsoft.org/article/view/v007i02

and see the references provided in the reference section of efp and chow.test, too.

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
var.2c.stabil <- stability(var.2c, type = "OLS-CUSUM")
var.2c.stabil
plot(var.2c.stabil)

data(USA)
v1 <- VAR(USA, p = 6)
x1 <- stability(v1, type = "mv-chow-test")
plot(x1)

svars

Data-Driven Identification of SVAR Models

v1.3.7

MIT + file LICENSE

Authors

Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]

Initial release

2021-03-17