Strucchange: An R package for testing for structural change in linear regression models

Achim Zeileis (), Friedrich Leisch, Kurt Hornik and Christian Kleiber

No 2001,26, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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 uctuation test framework as well as from the F test (Chow test) framework. Extending standard signi_cance tests it contains methods to _t, plot and test empirical uctuation 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 signi_cance. Furthermore it is described how incoming data can be monitored online.

Keywords: structural change; CUSUM; MOSUM; recursive estimates; moving estimates; online monitoring; R; S (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/77126/1/2001-26.pdf (application/pdf)

Related works:
Journal Article: strucchange: An R Package for Testing for Structural Change in Linear Regression Models (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200126

Access Statistics for this paper

More papers in Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().