Authors: Hornik, Kurt
Kleiber, Christian
Leisch, Friedrich
Zeileis, Achim
Title: Strucchange: An R Package for Testing for Structural Change in Linear Regression Models
Language (ISO): en
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 estimatesbased 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.
Subject Headings: structural change
CUSUM
MOSUM
recursive estimates
moving estimates
online monitoring
URI: http://hdl.handle.net/2003/5282
http://dx.doi.org/10.17877/DE290R-12194
Issue Date: 2001
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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