> >
> > does anybody know of a nice test to detect trend turning points in
> > time series? Possibly with reference?
>
> You can look at the function breakpoints() in the package strucchange
> and the function segmented() in the package segmented which do
> segmentation of (generalized) linear regression models. The
> former tries
> to fit fully segmented regression models, the latter broken
> line trends.
> References are given on the respective help pages.
>
> A suitable test for a change in trend in linear regression
> models is the
> OLS-based CUSUM test with a Cramer-von Mises functional of
> Kraemer & Ploberger (1996, JoE) which is available via efp() in
> strucchange and associated methods.
Hello Joerg,
additionally to Achim's comments, there is also the Zivot & Andrews test
available in the contributed package 'urca',
Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the
Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,
Journal of Business & Economic Statistics, 10(3),
251-270.
Download possible at: \url{http://cowles.econ.yale.edu/}, see rubric
'Discussion Papers (CFDPs)'.
in case you are also interested in inferences on integration of your time
series at hand.
Bernhard
>
> hth,
> Z
>
> > Thanks,
> >
> > joerg
> >
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