Dear R users,
I'm trying to use the "strucchange" package to determine structural breaks
in an ARFIMA model.
Unfortunately I'm not so familiar with this topic (and worse, I'm a beginner
in R), so I don't know exactly how to specify my model so that the
"Fstats","sctest" and "breakpoint" functions to recognize it and to
calculate the potentially breakpoints.
Could anyone give me a sugestion?
I tried, however, (following the example specified in R Help) the functions:
fs.x <- Fstats(x ~ 1))
sctest(fs.x)
plot(fs.x)
breakpoints(fs.x)
But I understand that this example only test for a sudden change in the mean
of the series.
Anyway, I have another problem related to the example above mentioned. My
series is a "numeric" class (I only have one column with daily returns) an
therefore I get the following error related to breakdates:
> breakpoints(fs.x)
Optimal 2-segment partition:
Call:
breakpoints.Fstats(obj = fs.x)
Breakpoints at observation number:
2441
Corresponding to breakdates:
Error in if (format.times) breakdates <- format.time(breakdates,
obj$datatsp[3]) :
argument is of length zero
So, I added to my returns column a new column containing the Date and my
file to be imported looks like:
date return
9/22/1997 -0.890957263
9/23/1997 -1.505530482
9/24/1997 -4.234587983
9/25/1997 0.385007594
............................................
I tried to convert the new data in a "zoo" object or "ts" , but after this
the functions in the strucchange package don't work anymore..
Moreover, the "irts" function to create an irregular time-series object does
not seems to work.
Any help would be highly appreciated !
Thank you in advance,
M.
--
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