FLUX - General Nyblom fluctuations test
Posted: Fri Feb 03, 2012 10:58 amFLUX is a general procedure for implementing the fluctuations test proposed by Nyblom(1989), "Testing for Constancy of Parameters Over Time",
JASA, vol 84, pp 223-230. The inputs are either the set of scores from instructions like MAXIMIZE or GARCH or the derivatives of u from instructions like NLLS, which you can obtain with the DERIVES option on those instructions. It computes both individual and joint test statistics and gives an approximate significance level for each.
@FLUX( options ) start end
# list of score series
Options
[PRINT]/NOPRINT
SMPL=SMPL Series
TITLE=title for report ["Fluctuation Tests"]
Variables Defined
Example
Sample Output
JASA, vol 84, pp 223-230. The inputs are either the set of scores from instructions like MAXIMIZE or GARCH or the derivatives of u from instructions like NLLS, which you can obtain with the DERIVES option on those instructions. It computes both individual and joint test statistics and gives an approximate significance level for each.
flux.src- Procedure file - requires RATS 7.3 or later
- (2.31 KiB) Downloaded 62 times
@FLUX( options ) start end
# list of score series
Options
[PRINT]/NOPRINT
SMPL=SMPL Series
TITLE=title for report ["Fluctuation Tests"]
Variables Defined
| %HJOINT | real with the overall test |
| %HSTATS | VECTOR with the tests on the individual components |
Example
- Code: Select all
garch(p=1,q=1,derives=dd) / dlogdm
@flux
# dd
Sample Output
- Code: Select all
Test Statistic P-Value
Joint 1.25404076 0.05
1 0.71296199 0.01
2 0.35737800 0.09
3 0.13836781 0.41
4 0.18254428 0.29