| ACValues {tseriesTARMA} | R Documentation |
Andrews Tabulated Critical Values
Description
The data is taken from Table 1 of (Andrews 2003), which provides asymptotic critical values for sup Wald, LM, and LR tests for parameter instability. Critical values are given for degrees of freedom \(p=1,\dots,20\). They can be used as asymptotic critical values for the following tests:
Provided pb = 1- pa.
Usage
ACValues
Format
ACValues
A matrix with 13 rows and 62 columns. The first two columns contain the parameters, whereas the remaining 60 columns contain 3 critical values (at level 10%, 5%, and 1%) for each value of the parameter \(p\):
pi\(\pi_0\) in the paper, corresponds to
pa.lambda\(\lambda\) in the paper, not relevant here.
1-90\(p=1\), critical level 10%.
1-95\(p=1\), critical level 5%.
1-99\(p=1\), critical level 1%.
...
20-90\(p=20\), critical level 10%.
20-95\(p=20\), critical level 5%.
20-99\(p=20\), critical level 1%.
Note that \(p\) are the degrees of freedom and correspond to the total number of tested parameter in the above tests.
Source
Andrews DWK (2003). “Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum.” Econometrica, 71(1), 395-397. doi:10.1111/1468-0262.00405.