custest {lmtest} | R Documentation |
custest
performs the CUSUM-Tests against structural change. This
test is based on recursive residuals and returns a random walk.
raintest(formula, data=list())
formula |
a symbolic describtion for the model to be tested |
data |
an optional data frame containing the variables in the model. By default the variables are taken from the environment which 'custest' is called from |
A vector containing the random-walk.
Torsten Hothorn <hothorn@amadeus.statistik.uni-dortmund.de>
Kraemer, W., Sonnberger, H. (1986): The linear regression model under test
# generate regressor x <- c(1:30); # generate a structural change y <- c(1*x[1:10], 3*x[11:30]) + rnorm(30,0,1); # perform CUSUM-Test rw <- custest(y ~x -1); # plot random walk plot(rw);