Quotation Zeileis, Achim, Kleiber, Ch., Krämer, W., Hornik, Kurt. 2003. Testing and Dating of Structural Changes in Practice. Computational Statistics & Data Analysis 44 (1-2): 109-123.


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Abstract

An approach to the analysis of data that contains (multiple) structural changes in a linear regression setup is presented. 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 are implemented 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 statistically detected changes in the mean of a time series as well as in the coefficients of a linear regression coincide with identifiable historical, political or economic events which might have caused these breaks.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Computational Statistics and Data Analysis
Citation Index SCI
WU-Journal-Rating new FIN-A, VW-D, WH-B
Language English
Title Testing and Dating of Structural Changes in Practice
Volume 44
Number 1-2
Year 2003
Page from 109
Page to 123
Reviewed? Y
URL http://statmath.wu.ac.at/~zeileis/papers/Zeileis+Kleiber+Kraemer-2003.pdf

Associations

People
Zeileis, Achim (Former researcher)
Hornik, Kurt (Details)
External
Kleiber, Ch.
Krämer, W.
Organization
Institute for Statistics and Mathematics IN (Details)
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