Strucchange: An R Package for Testing for Structural Change in Linear Regression Models

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dc.contributor.authorHornik, Kurtde
dc.contributor.authorKleiber, Christiande
dc.contributor.authorLeisch, Friedrichde
dc.contributor.authorZeileis, Achimde
dc.date.accessioned2004-12-06T18:51:02Z
dc.date.available2004-12-06T18:51:02Z
dc.date.issued2001de
dc.description.abstractThis 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.en
dc.format.extent396842 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/2003/5282
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-12194
dc.language.isoende
dc.publisherUniversitätsbibliothek Dortmundde
dc.subjectstructural changeen
dc.subjectCUSUMen
dc.subjectMOSUMen
dc.subjectrecursive estimatesen
dc.subjectmoving estimatesen
dc.subjectonline monitoringen
dc.subject.ddc310de
dc.titleStrucchange: An R Package for Testing for Structural Change in Linear Regression Modelsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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