On Sat, 28 Mar 2015, Bert Gunter wrote:
Once you have looked at the data and chosen change points to test
based on the data, the tests for change points are invalid (unless you
make appropriate adjustments for post hoc tests).
And no, I am not making this up. Consult any competent statistician.
Yes, you must not select a breakpoint by eyeballing a time series and then
conduct a structural break test for this given breakpoint as if it were
exogenously given. This will be far too liberal.
But most practitioners would think it is still ok to conduct a structural
break test with _unknown_ breakpoint. Ideally, the hypothesis to be tested
and the significance level were formulated prior to the collection of the
data, though.
To add to Uwe's comments: maxstat_test() in package "coin" would be a
non-parametric permutation test. sctest() in package "strucchange"
provides a wide range of tests for general parametric models, especially
linear regressions.
Best,
Z
Cheers,
Bert
Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374
"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
Clifford Stoll
On Sat, Mar 28, 2015 at 5:52 PM, Uwe Ligges
<[email protected]> wrote:
On 29.03.2015 00:09, Temel ?spanyolca wrote:
DR. UWE LIGGES
I have sent turkish real Gdp data (1998-2013) in annex.
Turkey has lived two crises in this period, in 2001 and 2008. You can
see in data.
My problem is to indicate these dates any statistic test as a structural
change or point change.
Have you tried CUSUM? Or some permutations test? You do not have muh data
....
Best,
Uwe Ligges
Sincerely
Engin
2015-03-28 23:04 GMT+01:00 Uwe Ligges <[email protected]
<mailto:[email protected]>>:
-------- Forwarded Message --------
Subject: [R] multiple break in univariate series
Date: Sat, 28 Mar 2015 00:41:35 +0100
From: Temel ?spanyolca <[email protected]
<mailto:[email protected]>>
To: [email protected] <mailto:[email protected]>
Hello
Any one knows multiple break test for univariate series ?
Which kind of breaks? shift?
You may want to look for CUSUM or MOSUM tests or even permutation
tests.
Packages: strucchange, changepoint
http://cran.r-project.org/web/__packages/changepoint/index.__html
<http://cran.r-project.org/web/packages/changepoint/index.html>
http://cran.r-project.org/web/__packages/strucchange/index.__html
<http://cran.r-project.org/web/packages/strucchange/index.html>
Best,
Uwe Ligges
--
*Thanks*
Engin YILMAZ
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Engin YILMAZ
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