Resource title

strucchange. An R package for testing for structural change in linear regression models.

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Resource description

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 estimates-based 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. (author's abstract) ; Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Resource author

Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber

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Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://epub.wu.ac.at/1124/1/document.pdf

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Adapt according to the license agreement. Always reference the original source and author.