Re: [R] brown, durbin , evans ( 1975 )

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Tue 10 Jan 2006 - 18:44:20 EST


Mark:

> Does anyone know where
> I can get R code for plotting
> the Brown , Durbin
> and Evans cumsum
> procedure ( 1975 ) ?

Via
library("strucchange")

> P.S : Strucchange looks like a great package but
> it would take me way longer than I
> have to only partially understand the theory behind
> what is going on there.

Come on, it's not that difficult, e.g., for detecting the mean shift in   plot(Nile)
you can apply BDE's Recursive CUSUM test via   rcus <- efp(Nile ~ 1, type = "Rec-CUSUM")   plot(rcus)
which shows quite clearly the structural change that occured in 1898 after the Ashwan dam was built. You can get test statistic and p-value via   sctest(rcus)

See the package vignette and the man pages for more examples.

As I already told you privately, a lot of research was done after BDE 1975 and the test is not the most suitable in various situations. For example, it can perform quite badly in the presence of multiple shifts or shifts that occur late in the sample period.

Best,
Z



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