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

Achim Zeileis

Publication: Working/Discussion PaperWU Working Paper

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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.
Original languageEnglish
Place of PublicationVienna
PublisherInstitut für Statistik und Mathematik, WU Vienna University of Economics and Business
DOIs
Publication statusPublished - 2004

Publication series

SeriesResearch Report Series / Department of Statistics and Mathematics
Number7

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

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