

custest(lmtest)                              R Documentation

_C_U_S_U_M_-_T_e_s_t

_D_e_s_c_r_i_p_t_i_o_n_:

     `custest' performs the CUSUM-Tests against structural
     change. This test is based on recursive residuals and
     returns a random walk.

_U_s_a_g_e_:

     raintest(formula, data=list())

_A_r_g_u_m_e_n_t_s_:

 formula: a symbolic describtion for the model to be tested

    data: an optional data frame containing the variables in
          the model.  By default the variables are taken
          from the environment which 'custest' is called
          from

_V_a_l_u_e_:

     A vector containing the random-walk.

_A_u_t_h_o_r_(_s_)_:

     Torsten Hothorn <hothorn@amadeus.statistik.uni-dort-
     mund.de>

_R_e_f_e_r_e_n_c_e_s_:

     Kraemer, W., Sonnberger, H. (1986): The linear regres-
     sion model under test

_S_e_e _A_l_s_o_:

     `lm'

_E_x_a_m_p_l_e_s_:

     # generate regressor
     x <- c(1:30);
     # generate a structural change
     y <- c(1*x[1:10], 3*x[11:30]) + rnorm(30,0,1);
     # perform CUSUM-Test
     rw <- custest(y ~x -1);
     # plot random walk
     plot(rw);

