Strucchange: An R package for testing for structural change in linear regression models
AbstractThis paper introduces ideas and methods for testing for structural change in linear regression models and presents how these have been realized in an R package called strucchange. It features tests from the generalized uctuation test framework as well as from the F test (Chow test) framework. Extending standard signi_cance tests it contains methods to _t, plot and test empirical uctuation processes (like CUSUM, MOSUM and estimatesbased processes) on the one hand and to compute, plot and test sequences of F statistics with the supF, aveF and expF test on the other. Thus, it makes powerful tools available to display information about structural changes in regression relationships and to assess their signi_cance. Furthermore it is described how incoming data can be monitored online. --
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Bibliographic InfoPaper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2001,26.
Date of creation: 2001
Date of revision:
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More information through EDIRC
structural change; CUSUM; MOSUM; recursive estimates; moving estimates; online monitoring; R; S;
Other versions of this item:
- Achim Zeileis & Friedrich Leisch & Kurt Hornik & Christian Kleiber, . "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, American Statistical Association, vol. 7(i02).
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
- Bruce E. Hansen, 1995.
"Approximate Asymptotic P-Values for Structural Change Tests,"
Boston College Working Papers in Economics
297., Boston College Department of Economics.
- Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
- Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming, 1995. "The Moving-Estimates Test for Parameter Stability," Econometric Theory, Cambridge University Press, vol. 11(04), pages 699-720, August.
- Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-69, November.
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