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

Kleiber, Christian and Hornik, Kurt and Leisch, Friedrich and Zeileis, Achim (2002) strucchange: An R Package for Testing for Structural Change in Linear Regression Models. Journal of Statistical Software, 7 (2). pp. 1-38. ISSN 1548-7660

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Abstract

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.

Item Type: Article
Keywords: structural change / CUSUM / MOSUM / recursive estimates / moving estimates / monitoring / R / S
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics > Hornik
Version of the Document: Published
Depositing User: ePub Administrator
Date Deposited: 28 Oct 2013 17:33
Last Modified: 27 Feb 2017 11:36
FIDES Link: https://bach.wu.ac.at/d/research/results/28838/
URI: http://epub.wu.ac.at/id/eprint/4001

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