On Fri, 12 Feb 2010, sebastien wrote:
Hello,
I used the function Fstats (in the package strucchange) and would like to
transform the F probability given by Fstats in P value. This transformation
can be made while making a plot, but I need to have the numerical P value
which are ploted... and I can't find out how to do.
Here a is an exemple, to plot the P value.
let's take data as a array
fs <-fstats(data ~ 1, from = 4, to = length(data)-4)
plot(fs,pval=TRUE)
This plot simply takes the Chi-squared p-values, i.e.
pchisq(fs$Fstats, fs$nreg, lower.tail = FALSE)
and plots them. The boundary is then the adjusted critical value (and
_not_ 5%).
If you want to obtain the p-value for the maximum, you can do
pvalue.Fstats(max(fs$Fstats), k = fs$nreg, lambda = fs$par)
or iterate that to obtain the adjusted sequence of p-values via
sapply(as.vector(fs$Fstats), pvalue.Fstats, k = fs$nreg,
lambda = fs$par)
More details about the general approach and a few comments about the
p-values are also in
vignette("strucchange-intro", package = "strucchange")
hth,
Z
Thank you for your help,
Seb
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