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strucchange : an R package for testing for structural change in linear regression models

Zeileis, Achim and Leisch, Friedrich and Hornik, Kurt and Kleiber, Christian. (2002) strucchange : an R package for testing for structural change in linear regression models. Journal of statistical software, Vol. 7, H. 2. S. 1-38.

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Official URL: http://edoc.unibas.ch/dok/A5252914

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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.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > ├ľkonometrie und Statistik (Kleiber)
UniBasel Contributors:Kleiber, Christian
Item Type:Article, refereed
Bibsysno:Link to catalogue
Publisher:UCLA
Note:Publication type according to Uni Basel Research Database: Journal article
Last Modified:22 Mar 2012 14:30
Deposited On:22 Mar 2012 14:17

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