andrews_test {CPAT} | R Documentation |
This implements Andrews' test for end-of-sample change, as described by Andrews (2003). This test was derived for detecting a change in univariate data. See (Andrews 2003) for a description of the test.
andrews_test(x, M, pval = TRUE, stat = TRUE)
x |
Vector of the data to test |
M |
Numeric index of the location of the first potential change point |
pval |
If |
stat |
If |
If both pval
and stat
are TRUE
, a list
containing both; otherwise, a number for one or the other, depending
on which is TRUE
Andrews DWK (2003). “End-of-Sample Instability Tests.” Econometrica, 71(6), 1661–1694. ISSN 00129682, 14680262, https://www.jstor.org/stable/1555535.
CPAT:::andrews_test(rnorm(1000), M = 900)