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strucchange: An R Package for Testing for Structural Change in Linear Regression Models

  • Achim Zeileis
  • Friedrich Leisch
  • Kurt Hornik
  • Christian Kleiber

This paper reviews tests for structural change in linear regression models from the generalized fluctuation test framework as well as from the F test (Chow test) framework. It introduces a unified approach for implementing these tests and presents how these ideas have been realized in an R package called strucchange. Enhancing the standard significance test approach the package contains methods to fit, plot and test empirical fluctuation processes (like CUSUM, MOSUM and estimates-based processes) and to compute, plot and test sequences of F statistics with the supF , aveF and expF test. Thus, it makes powerful tools available to display information about structural changes in regression relationships and to assess their significance. Furthermore, it is described how incoming data can be monitored.

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Article provided by American Statistical Association in its journal Journal of Statistical Software.

Volume (Year): 07 ()
Issue (Month): i02 ()
Pages:

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Handle: RePEc:jss:jstsof:07:i02
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  1. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
  2. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-69, November.
  3. 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.
  4. 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.
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