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Testing and dating of structural changes in practice

Zeileis, Achim and Kleiber, Christian and Krämer, Walter and Hornik, Kurt. (2003) Testing and dating of structural changes in practice. Computational statistics & data analysis, Vol. 44. pp. 109-123.

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Official URL: http://edoc.unibas.ch/dok/A5252910

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Abstract

An approach to the analysis of data that contains (multiple) structural changes in a linear regression setup is presented. 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 are implemented 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 statistically detected changes in the mean of a time series as well as in the coefficients of a linear regression coincide with identifiable historical, political or economic events which might have caused these breaks.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Ökonometrie und Statistik (Kleiber)
UniBasel Contributors:Kleiber, Christian
Item Type:Article, refereed
Article Subtype:Research Article
Bibsysno:Link to catalogue
Publisher:Elsevier
ISSN:0167-9473
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:22 Mar 2012 14:28
Deposited On:22 Mar 2012 14:03

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