IIPUs {tsDyn} | R Documentation |
This data, used as example in Hansen (1999), contains the US monthly industrial production.
data(IIPUs)
A monthly time series of class ts starting in january 1960 and ending in september 1997. Note that the series ends at 1997 and not 1998 as in the paper of Hansen, even if the data was taken from hi site and the graph is exactly the same.
Hansen (1999) Testing for linearity, Journal of Economic Surveys, Volume 13, Number 5, December 1999 , pp. 551-576(26) avalaible at: http://www.ssc.wisc.edu/~bhansen/papers/cv.htm
data(IIPUs) end(IIPUs) #not same date as in the paper plot(IIPUs)#exactly same graph as in the paper sel<-selectSETAR(IIPUs, m=16, thDelay=5, criterion="SSR", trim=0.1, plot=FALSE) sel #R function obtains a lower SSR with another thresold plot(sel) setar(IIPUs, m=16, thDelay=5, trim=0.1, th=sel$th) sel2<-selectSETAR(IIPUs, m=16, thDelay=5, criterion="SSR", trim=0.1, plot=FALSE, nthresh=2) sel2 #all results agree set2<-setar(IIPUs, m=16, thDelay=5, th=sel2$th, trim=0.1) #most of the results agree, except constant in the low regime which has opposed signs! summary(set2) #this is obviously a error in Hansen, see: XX<-embed(IIPUs, 17) Y<-XX[,1] X<-XX[,-1] dummyDown<-ifelse(X[,6]<= -2.5, 1,0) sum(dummyDown) M<-cbind(1*dummyDown,X*dummyDown ) lm(Y~M-1) setarTest(IIPUs, m=16, thDelay=5, nboot=1, check=TRUE) #because of the discrepency. test1vs2 does not correspond, test 1vs3 conforms setarTest(IIPUs, m=16, thDelay=5, nboot=1, check=TRUE, test="2vs3") #test 2vs3 is also different of the version in the article (27)