On Sun, 28 Jun 2009, mihaela wrote:
Thanks for your reply.
Is there other package which could help me in this regard? Or simply I can't
do this in R?
AFAIK, there is currently no package which implements the necessary
limiting distributions.
Regarding "ts" object, I try:
s<-read.csv("C:/data.csv",header=TRUE)
x<-ts(s)
fs.x <- Fstats(x ~1)
This is not really reproducible but I guess that
x <- ts(s[,1])
would do what you want.
But please read the posting guide, some introduction to R, and the
corresponding man pages.
Best,
Z
and I get the following error:
fs.x <- Fstats(x ~1)
Error in as.matrix(X[((point[i] + 1):n), ]) : subscript out of bounds
and I don't know how to read my data so the output to indicate the breakdate
also, not just the breakpoint, and to plot the results..
Thanks,
M.
Achim Zeileis wrote:
On Sun, 28 Jun 2009, mihaela wrote:
Dear R users,
I'm trying to use the "strucchange" package to determine structural
breaks
in an ARFIMA model.
ARFIMA models are not supported in "strucchange" at the moment. They
typically require a different asymptotic theory due to the fractional
integration.
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:
If you transform x to a "ts" object, in the simplest case
x <- ts(x)
this error should not occur.
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..
"zoo" is not supported yet, unfortunately, but "ts" is.
Z
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.
--
View this message in context:
http://www.nabble.com/testing-an-ARFIMA-model-for-structural-breaks-with-unknown-breakpoint-tp24241675p24241675.html
Sent from the R help mailing list archive at Nabble.com.
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
--
View this message in context:
http://www.nabble.com/testing-an-ARFIMA-model-for-structural-breaks-with-unknown-breakpoint-tp24241675p24242101.html
Sent from the R help mailing list archive at Nabble.com.
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
