andrews_test_reg {CPAT}

Multivariate Andrews' Test for End-of-Sample Structural Change

Description

This implements Andrews' test for end-of-sample change, as described by Andrews (2003). This test was derived for detecting a change in multivarate data, aso originally described. See (Andrews 2003) for a description of the test.

Usage

andrews_test_reg(formula, data, M, pval = TRUE, stat = TRUE)

Arguments

formula

The regression formula, which will be passed to lm

data

data.frame containing the data

M

Numeric index of the location of the first potential change point

pval

If TRUE, return a p-value

stat

If TRUE, return a test statistic

Value

If both pval and stat are TRUE, a list containing both; otherwise, a number for one or the other, depending on which is TRUE

References

Andrews DWK (2003). “End-of-Sample Instability Tests.” Econometrica, 71(6), 1661–1694. ISSN 00129682, 14680262, https://www.jstor.org/stable/1555535.

Examples

x <- rnorm(1000)
y <- 1 + 2 * x + rnorm(1000)
df <- data.frame(x, y)
CPAT:::andrews_test_reg(y ~ x, data = df, M = 900)