Testing and Dating of Structural Changes in Practice
| dc.contributor.author | Hornik, Kurt | de |
| dc.contributor.author | Kleiber, Christian | de |
| dc.contributor.author | Krämer, Walter | de |
| dc.contributor.author | Zeileis, Achim | de |
| dc.date.accessioned | 2004-12-06T18:50:10Z | |
| dc.date.available | 2004-12-06T18:50:10Z | |
| dc.date.issued | 2002 | de |
| dc.description.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. | en |
| dc.format.extent | 140773 bytes | |
| dc.format.extent | 851717 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.format.mimetype | application/postscript | |
| dc.identifier.uri | http://hdl.handle.net/2003/5229 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15203 | |
| dc.language.iso | en | de |
| dc.publisher | Universitätsbibliothek Dortmund | de |
| dc.subject | structural change | en |
| dc.subject | changepoint problem | en |
| dc.subject | segmented regressions | en |
| dc.subject | R, S, Bellman principle | en |
| dc.subject.ddc | 310 | de |
| dc.title | Testing and Dating of Structural Changes in Practice | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |