## ----cleanup, include=FALSE---------------------------------------------------
cleanup <- TRUE
library("fxregime")
knitr::opts_chunk$set(
  engine = "R",
  collapse = TRUE,
  comment = "##",
  message = FALSE,
  warning = FALSE,
  echo = TRUE
)

## ----preliminaries------------------------------------------------------------
library("fxregime")
data("FXRatesCHF", package = "fxregime")

## ----inr-data-----------------------------------------------------------------
inr <- fxreturns("INR", frequency = "weekly",
  start = as.Date("1993-04-01"), end = as.Date("2008-01-04"),
  other = c("USD", "JPY", "DUR", "GBP"), data = FXRatesCHF)

## ----inr-fitting--------------------------------------------------------------
inr_lm <- fxlm(INR ~ USD + JPY + DUR + GBP, data = inr)

## ----inr-hprocess, fig.height=9, fig.width=9, fig.cap="Historical fluctuation process for INR exchange rate regime."----
inr_efp <- gefp(inr_lm, fit = NULL)
plot(inr_efp, aggregate = FALSE, ylim = c(-1.85, 1.85))

## ----inr-sctest---------------------------------------------------------------
sctest(inr_efp)

## ----inr-sctest2--------------------------------------------------------------
sctest(inr_efp, functional = meanL2BB)

## ----inr-dating, eval=FALSE---------------------------------------------------
# inr_reg <- fxregimes(INR ~ USD + JPY + DUR + GBP,
#   data = inr, h = 20, breaks = 10)

## ----inr-dating1, echo=FALSE--------------------------------------------------
if(file.exists("inr_reg.rda")) load("inr_reg.rda") else {
inr_reg <- fxregimes(INR ~ USD + JPY + DUR + GBP,
  data = inr, h = 20, breaks = 10)
save(inr_reg, file = "inr_reg.rda")
}
if(cleanup) file.remove("inr_reg.rda")

## ----inr-breaks, fig.height=5, fig.width=6, fig.cap="Negative log-likelihood and LWZ information criterion for INR exchange rate regimes."----
plot(inr_reg)

## ----inr-confint--------------------------------------------------------------
confint(inr_reg, level = 0.9)

## ----inr-coef-----------------------------------------------------------------
coef(inr_reg)

## ----inr-refit----------------------------------------------------------------
inr_rf <- refit(inr_reg)
lapply(inr_rf, summary)