Strucchange: An R package for testing for structural change in linear regression models
This 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.
|Date of creation:||2001|
|Date of revision:|
|Contact details of provider:|| Postal: Vogelpothsweg 78, D-44221 Dortmund|
Phone: (0231) 755-3125
Fax: (0231) 755-5284
Web page: http://www.statistik.tu-dortmund.de/sfb475.html
More information through EDIRC
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.:
- Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-69, November.
- 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.
When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200126. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.