On Mon, 19 Jul 2010, João Boavida wrote:
I???m using strucchange package in R software in order to apply Bai and
Peron (1998, 2003) structural break tests. This sequential procedure
includes: 1) Sup F test; 2) double maximum tests and 3) supFT (l+1/ l)
tests.
Thanks for your interest, but you have sent this e-mail twice to me
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Could anyone help me to perform such tests in R, please?
The "strucchange" package implements the supF test for 0-vs-1 breaks (in
BP terminology). The 0-vs-m and l-vs-l+1 tests (in BP terminology) are not
implemented.
For choosing the number of breaks, I typically employ a slightly different
strategy:
- perform a structural change test graphically (conveying information
about the number and timing of potential breaks),
- estimate breakpoints for m = 1, ..., M.
- visualize associated RSS and BIC (or the modified BIC called LWZ),
-> choose number of breaks.
A paper showing this strategy in practice is:
Achim Zeileis, Christian Kleiber, Walter Krämer, Kurt Hornik (2003).
Testing and Dating of Structural Changes in Practice.
Computational Statistics & Data Analysis, 44(1-2), 109-123.
A preprint version is available on my webpage.
Another paper which essentially uses the same idea but in a somewhat
updated setting is
Achim Zeileis, Ajay Shah, Ila Patnaik (2010). Testing, Monitoring, and
Dating Structural Changes in Exchange Rate Regimes.
Computational Statistics & Data Analysis, 54(6), 1696-1706.
The preprint version is also on my webpage and all replication files are
in the package "fxregime".
hth,
Z
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