Regarding my question on implementing the Chow test in splus 6.1, I received
the following replies. Thank you for the help.
Eric Zivot wrote:
There are many "Chow" tests and some are just simple F-tests that can be
easily implemented. Which "Chow" test do you have in mind? Also, there is an
R package available to do general structural change testing.
Achim Zeileis suggested:
On CRAN there is the package "strucchange" for R, which contains the
function sctest(), an interface to various structural change tests
containg the Chow test. See the help/examples of sctest(). Furthermore the
package contains various tests for structural change
of unknown timing, e.g. supF (aka supChow or Quandt test),
CUSUM/MOSUM, recursive/moving estimates.
Chris Barker said:
I don't think its implemented in SPLUS and since it doesn't appear to be in
the SNEWS archives, you can use the
Object oriented features of SPLUS to extract the relevant sums of squares
(SSQ) and construc the test on your own.
Check the text by Venables and Ripley on extracting the SSQ from an
aov() object
Respectfully,
Frank R. Lawrence
|