[R] trend turning points

Achim Zeileis Achim.Zeileis at wu-wien.ac.at
Wed Apr 14 19:24:23 CEST 2004

On Wed, 14 Apr 2004 19:05:32 +0200 Joerg Schaber wrote:

> Hi,
> 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.


> Thanks,
> joerg
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