[R] testing an ARFIMA model for structural breaks with unknown breakpoint

[Achim Zeileis]

On Sun, 28 Jun 2009, mihaela wrote:

> Thanks for your reply.
> Is there other package which could help me in this regard? Or simply I can't
> do this in R?

AFAIK, there is currently no package which implements the necessary 
limiting distributions.

> Regarding "ts" object, I try:
>
> s<-read.csv("C:/data.csv",header=TRUE)
> x<-ts(s)
> fs.x <- Fstats(x ~1)

This is not really reproducible but I guess that
   x <- ts(s[,1])
would do what you want.

But please read the posting guide, some introduction to R, and the 
corresponding man pages.

Best,
Z

> and I get the following error:
>
>> fs.x <- Fstats(x ~1)
> Error in as.matrix(X[((point[i] + 1):n), ]) : subscript out of bounds
>
> and I don't know how to read my data so the output to indicate the breakdate
> also, not just the breakpoint, and to plot the results..
>
> Thanks,
> M.
>
>
> Achim Zeileis wrote:
>>
>> On Sun, 28 Jun 2009, mihaela wrote:
>>
>>>
>>> Dear R users,
>>>
>>> I'm trying to use the "strucchange" package to determine structural
>>> breaks
>>> in an ARFIMA model.
>>
>> ARFIMA models are not supported in "strucchange" at the moment. They
>> typically require a different asymptotic theory due to the fractional
>> integration.
>>
>>> Unfortunately I'm not so familiar with this topic (and worse, I'm a
>>> beginner
>>> in R), so I don't know exactly how to specify my model so that the
>>> "Fstats","sctest" and "breakpoint" functions to recognize it and to
>>> calculate the potentially breakpoints.
>>> Could anyone give me a sugestion?
>>>
>>> I tried, however, (following the example specified in R Help) the
>>> functions:
>>>
>>> fs.x <- Fstats(x ~ 1))
>>> sctest(fs.x)
>>> plot(fs.x)
>>> breakpoints(fs.x)
>>>
>>> But I understand that this example only test for a sudden change in the
>>> mean
>>> of the series.
>>>
>>> Anyway, I have another problem related to the example above mentioned. My
>>> series is a "numeric" class (I only have one column with daily returns)
>>> an
>>> therefore I get the following error related to breakdates:
>>
>> If you transform x to a "ts" object, in the simplest case
>>    x <- ts(x)
>> this error should not occur.
>>
>>>> breakpoints(fs.x)
>>>
>>>         Optimal 2-segment partition:
>>>
>>> Call:
>>> breakpoints.Fstats(obj = fs.x)
>>>
>>> Breakpoints at observation number:
>>> 2441
>>>
>>> Corresponding to breakdates:
>>> Error in if (format.times) breakdates <- format.time(breakdates,
>>> obj$datatsp[3]) :
>>>  argument is of length zero
>>>
>>>
>>> So, I added to my returns column a new column containing the Date and my
>>> file to be imported looks like:
>>>
>>> date	                return
>>> 9/22/1997	-0.890957263
>>> 9/23/1997	-1.505530482
>>> 9/24/1997	-4.234587983
>>> 9/25/1997	0.385007594
>>> ............................................
>>>
>>> I tried to convert the new data in a "zoo" object or  "ts" , but after
>>> this
>>> the functions in the strucchange package don't work anymore..
>>
>> "zoo" is not supported yet, unfortunately, but "ts" is.
>> Z
>>
>>> Moreover, the "irts" function to create an irregular time-series object
>>> does
>>> not seems to work.
>>>
>>> Any help would be highly appreciated !
>>>
>>>
>>> Thank you in advance,
>>> M.
>>> --
>>> View this message in context:
>>> http://www.nabble.com/testing-an-ARFIMA-model-for-structural-breaks-with-unknown-breakpoint-tp24241675p24241675.html
>>> Sent from the R help mailing list archive at Nabble.com.
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>>
>>>
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>
>
> -- 
> View this message in context: http://www.nabble.com/testing-an-ARFIMA-model-for-structural-breaks-with-unknown-breakpoint-tp24241675p24242101.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>