Autor(en): | Hornik, Kurt Kleiber, Christian Krämer, Walter Zeileis, Achim |
Titel: | Testing and Dating of Structural Changes in Practice |
Sprache (ISO): | en |
Zusammenfassung: | The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement 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 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 changes in the mean of a time series as well as in the coefficients of a linear regression are easily matched with identifiable historical, political or economic events. |
Schlagwörter: | structural change changepoint problem segmented regressions R, S, Bellman principle |
URI: | http://hdl.handle.net/2003/5229 http://dx.doi.org/10.17877/DE290R-15203 |
Erscheinungsdatum: | 2002 |
Provinienz: | Universitätsbibliothek Dortmund |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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39_02.pdf | DNB | 137.47 kB | Adobe PDF | Öffnen/Anzeigen |
tr39-02.ps | 831.75 kB | Postscript | Öffnen/Anzeigen |
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