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Implementing a class of structural change tests: An econometric computing approach

Zeileis, Achim (2004) Implementing a class of structural change tests: An econometric computing approach. Research Report Series / Department of Statistics and Mathematics, 7. Institut für Statistik und Mathematik, WU Vienna University of Economics and Business, Vienna.

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Abstract

The implementation of a recently suggested class of structural change tests, which test for parameter instability in general parametric models, in the R language for statistical computing is described: Focus is given to the question how the conceptual tools can be translated into computational tools that reflect the properties and flexiblity of the underlying econometric metholody while being numerically reliable and easy to use. More precisely, the class of generalized M-fluctuation tests (Zeileis & Hornik, 2003) is implemented in the package strucchange providing easily extensible functions for computing empirical fluctuation processes and automatic tabulation of critical values for a functional capturing excessive fluctuations. Traditional significance tests are supplemented by graphical methods which do not only visualize the result of the testing procedure but also convey information about the nature and timing of the structural change and which component of the parametric model is affected by it.

Item Type: Paper
Keywords: econometric computing / R / structural change / M-estimation / fluctuation tests
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 20 Jul 2004 00:29
Last Modified: 27 Feb 2017 11:49
URI: http://epub.wu.ac.at/id/eprint/1316

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