Re: [R] testing an ARFIMA model for structural breaks with unknown breakpoint

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:/d

Re: [R] testing an ARFIMA model for structural breaks with unknown breakpoint

Thanks for your reply. Is there other package which could help me in this regard? Or simply I can't do this in R? Regarding "ts" object, I try: s<-read.csv("C:/data.csv",header=TRUE) x<-ts(s) fs.x <- Fstats(x ~1) and I get the following error: > fs.x <- Fstats(x ~1) Error in as.matrix(X[((poin

Re: [R] testing an ARFIMA model for structural breaks with unknown breakpoint

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 integr

[R] testing an ARFIMA model for structural breaks with unknown breakpoint

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" function