I want to apply Nyblom-Hansen test with the strucchange package, but I don't
know how is the correct way and what is the difference between the following
two approaches (leeding to different results):
data("longley")
# 1. Approach:
sctest(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data = longley,
type = "Nyblom-Hansen")
#results in:
# Score-based CUSUM test with mean L2 norm
#
#data: Employed ~ Year + GNP.deflator + GNP + Armed.Forces
#f(efp) = 0.8916, p-value = 0.4395
#2. Approach:
sctest(gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data =
longley), functional = meanL2BB)
#results in:
# M-fluctuation test
#
#data: gefp(Employed ~ Year + GNP.deflator + GNP + Armed.Forces, data =
longley)
#f(efp) = 0.8165, p-value = 0.3924
I could not find any examples or further remarks of the first approach with
sctest(..., type = "Nyblom-Hansen").
Maybe the first approach is unlike the second no joint test for all
coefficients?
Thank you in advance for your help!
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