Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber
Title: strucchange: An R Package for Testing for Structural Change in Linear Regression Models
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.

Page views:: 31155. Submitted: 2001-06-29. Published: 2002-01-10.
Paper: strucchange: An R Package for Testing for Structural Change in Linear Regression Models     Download PDF (Downloads: 40671)
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strucchange_0.9-5.tar.gz: R source package Download (Downloads: 3045; 106KB)
DOI: 10.18637/jss.v007.i02

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.