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Authors: Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber
Title: [download]
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strucchange: An R Package for Testing for Structural Change in Linear Regression Models
Reference: Vol. 7, Issue 2, Jan 2002
Submitted 2001-06-29, Accepted 2002-01-10
Type: Article
Abstract:

This paper reviews tests for structural change in linear regression models from the generalized fluctuation test framework as well as from the F test (Chow test) framework. It introduces a unified approach for implementing these tests and presents how these ideas have been realized in an R package called strucchange. Enhancing the standard significance test approach the package contains methods to fit, plot and test empirical fluctuation processes (like CUSUM, MOSUM and estimates-based processes) and to compute, plot and test sequences of F statistics with the supF , aveF and expF test. 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.

Paper: [download]
(18672)
strucchange: An R Package for Testing for Structural Change in Linear Regression Models
(application/pdf, 384.6 KB)
Supplements: [download]
(2114)
strucchange_0.9-5.tar.gz: R source package
(application/x-gzip, 106 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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