andrews_test_reg function

Multivariate Andrews' Test for End-of-Sample Structural Change

This implements Andrews' test for end-of-sample change, as described by if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="andrews03;textual",package="CPAT",cached_env=.Rdpack.currefs) . This test was derived for detecting a change in multivarate data, aso originally described. See if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="andrews03",package="CPAT",cached_env=.Rdpack.currefs) for a description of the test.

andrews_test_reg(formula, data, M, pval = TRUE, stat = TRUE)

Arguments

• formula: The regression formula, which will be passed to lm
• data: data.frame containing the data
• M: Numeric index of the location of the first potential change point
• pval: If TRUE, return a p-value
• stat: If TRUE, return a test statistic

Returns

If both pval and stat are TRUE, a list containing both; otherwise, a number for one or the other, depending on which is TRUE

Examples

x <- rnorm(1000)
y <- 1 + 2 * x + rnorm(1000)
df <- data.frame(x, y)
CPAT:::andrews_test_reg(y ~ x, data = df, M = 900)

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)