Testing, Monitoring, and Dating Structural Changes in Maximum Likelihood Models

Achim Zeileis, Ajay Shah, Ila Patnaik

Publication: Working/Discussion PaperWU Working Paper

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A unified toolbox for testing, monitoring, and dating structural changes is provided for likelihood-based regression models. In particular, least-squares methods for dating breakpoints are extended to maximum likelihood estimation. The usefulness of all techniques is illustrated by assessing the stability of de facto exchange rate regimes. The toolbox is used for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and tracking the evolution of the Indian exchange rate regime since 1993.
Original languageEnglish
Place of PublicationWien
Publication statusPublished - 1 Sept 2008

Publication series

SeriesResearch Report Series / Department of Statistics and Mathematics

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

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