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Testing and dating of structural changes in practice

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  • Zeileis, Achim
  • Kleiber, Christian
  • Kramer, Walter
  • Hornik, Kurt

Abstract

The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the dating of the breakpoints in the R statistical software package. Using historical data on Nile river discharges, road casualties in Great Britain and oil prices in Germany it is shown that changes in the mean of a time series as well as in the coefficients of a linear regression are easily matched with identifiable historical, political or economic events.
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  • Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
    • Handle: RePEc:eee:csdana:v:44:y:2003:i:1-2:p:109-123
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    References listed on IDEAS

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    1. Joe H. Sullivan, 2002. "Estimating the Locations of Multiple Change Points in the Mean," Computational Statistics, Springer, vol. 17(2), pages 289-296, July.
    2. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2002. "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i02).
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