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strucchange: An R Package for Testing for Structural Change in Linear Regression Models

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  • Zeileis, Achim
  • Leisch, Friedrich
  • Hornik, Kurt
  • Kleiber, Christian

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.

Suggested Citation

  • Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2002. "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i02).
    • Handle: RePEc:jss:jstsof:v:007:i02
    DOI: http://hdl.handle.net/10.18637/jss.v007.i02
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    1. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-1369, November.
    2. Kuan, Chung-Ming & Chen, Mei-Yuan, 1994. "Implementing the fluctuation and moving-estimates tests in dynamic econometric models," Economics Letters, Elsevier, vol. 44(3), pages 235-239.
    3. Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming, 1995. "The Moving-Estimates Test for Parameter Stability," Econometric Theory, Cambridge University Press, vol. 11(4), pages 699-720, August.
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