Implementing a class of structural change tests: An econometric computing approach The implementation of a recently suggested class of structural change tests, which test for parameter instability in general parametric models, in the $mathsf R$ language for statistical computing is described: Focus is given to the question how the conceptual tools can be translated into computational tools that reflect the properties and flexibility of the underlying econometric methodology while being numerically reliable and easy to use. More precisely, the class of generalized M-fluctuation tests is implemented in the package strucchange providing easily extensible functions for computing empirical fluctuation processes and automatic tabulation of critical values for a functional capturing excessive fluctuations. Traditional significance tests are supplemented by graphical methods which do not only visualize the result of the testing procedure but also convey information about the nature and timing of the structural change and which component of the parametric model is affected by it.

References in zbMATH (referenced in 18 articles , 1 standard article )

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  1. Carvalho, Arthur; Dimitrov, Stanko; Larson, Kate: How many crowdsourced workers should a requester hire? (2016)
  2. Kelly, Morgan; Gráda, Cormac Ó.: Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age? (2014)
  3. Merkle, Edgar C.; Fan, Jinyan; Zeileis, Achim: Testing for measurement invariance with respect to an ordinal variable (2014)
  4. Young, Derek S.: Mixtures of regressions with changepoints (2014)
  5. Lee, Yi-Hsuan; von Davier, Alina A.: Monitoring scale scores over time via quality control charts, model-based approaches, and time series techniques (2013)
  6. Merkle, Edgar C.; Zeileis, Achim: Tests of measurement invariance without subgroups: a generalization of classical methods (2013)
  7. Zeileis, Achim; Hothorn, Torsten: A toolbox of permutation tests for structural change (2013)
  8. Gombay, Edit: Change detection in linear regression with time series errors (2010)
  9. Maindonald, John; Braun, W. John: Data analysis and graphics using R -- an example-based approach (2010)
  10. Zeileis, Achim; Shah, Ajay; Patnaik, Ila: Testing, monitoring, and dating structural changes in exchange rate regimes (2010)
  11. Becker, Otwin; Leitner, Johannes; Leopold-Wildburger, Ulrike: Expectation formation and regime switches (2009)
  12. Chochola, Ondřej: Sequential monitoring for change in scale (2008)
  13. Pfaff, Bernhard: Analysis of integrated and cointegrated time series with R. (2006)
  14. Vexler, A.: Guaranteed testing for epidemic changes of a linear regression model (2006)
  15. Zeileis, Achim: Implementing a class of structural change tests: An econometric computing approach (2006)
  16. Zeileis, Achim: A unified approach to structural change tests based on ML scores, $F$ statistics, and OLS residuals (2005)
  17. Zeileis, Achim: Alternative boundaries for CUSUM tests (2004)
  18. Zeileis, Achim; Kleiber, Christian; Krämer, Walter; Hornik, Kurt: Testing and dating of structural changes in practice (2003)