strucchange. An R package for testing for structural change in linear regression models.

Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber

Publication: Working/Discussion PaperWU Working Paper

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Abstract

This paper introduces ideas and methods for testing for structural change in linear regression models and presents how these have been realized in an R package called strucchange. It features tests from the generalized fluctuation test framework as well as from the F test (Chow test) framework. Extending standard significance tests it contains methods to fit, plot and test empirical fluctuation processes (like CUSUM, MOSUM and estimates-based processes) on the one hand and to compute, plot and test sequences of F statistics with the supF, aveF and expF test on the other. 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 online.

Publication series

SeriesReport Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Number55

WU Working Paper Series

  • Report Series SFB \Adaptive Information Systems and Modelling in Economics and Management Science\

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