Tell me more ×
Cross Validated is a question and answer site for statisticians, data analysts, data miners and data visualization experts. It's 100% free, no registration required.
up vote 1 down vote favorite

I'm using sctest function in strucchange package to check if there are breaks in my series.

I would like to understand how to interpret its result, in an example i get:

> g <- sctest(cars$dist~cars$speed+0)
> g

    Recursive CUSUM test

data:  cars$dist ~ cars$speed + 0 
S = 0.9147, p-value = 0.06379

What does it mean, are there breaks?

Thanks

share|improve this question

1 Answer

up vote 1 down vote accepted

The null hypothesis is that there are no structural breaks. Since your p-value is $0.063$ you can say that data does not disprove null hypothesis at $0.05$ significance level, i.e. there are no structural breaks. I would however hesitate to declare that there are truly no structural breaks without any further investigation.

share|improve this answer
two things: (1) 0.063 is above 0.05 so why can i accept it? maybe should be below..no? (2) what other investigation should i do? what methods? thank you! – ECOtime Aug 24 '11 at 13:39
better CUSUM Method? – ECOtime Aug 24 '11 at 13:46
Null hypothesis is rejected if the p-value is less than the significance level. So if significance level is 0.05 and p-value is 0.063 null hypothesis should be accepted. Now null hypothesis is that there are no structural breaks. As for further investigation, there are a lot of things you can do, but they depend on your initial purpose of applying the test. – mpiktas Aug 24 '11 at 13:49
How do you define better? – mpiktas Aug 24 '11 at 13:49
mpiktas I don't know you told me to do other investigation and i thought that this method is not very good. – ECOtime Aug 24 '11 at 13:55
show 7 more comments

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.