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Testing and dating of structural changes in practice

Achim Zeileis (), Christian Kleiber, Walter Krämer () and Kurt Hornik

No 2002,39, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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.

Keywords: structural change; changepoint problem; segmented regressions; R; S; Bellman principle (search for similar items in EconPapers)
Date: 2002
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