[R] trend turning points
ajayshah at mayin.org
Mon Apr 19 10:57:00 CEST 2004
>> 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.
I have seen strucchange with great interest but somehow the
combination of the R and the statistics knowledge that is required to
access it feels like a bottleneck :-) Could someone perhaps write a
simple R program which illustrates the facilities and usage?
Ajay Shah Consultant
ajayshah at mayin.org Department of Economic Affairs
http://www.mayin.org/ajayshah Ministry of Finance, New Delhi
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