Authors: Hornik, Kurt
Kleiber, Christian
Krämer, Walter
Zeileis, Achim
Title: Testing and Dating of Structural Changes in Practice
Language (ISO): en
Abstract: 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.
Subject Headings: structural change
changepoint problem
segmented regressions
R, S, Bellman principle
Issue Date: 2002
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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