Implementing a class of structural change tests: An econometric computing approach

13 years 4 months ago

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The implementation of a recently suggested class of structural change tests, which test for parameter instability in general parametric models, in the 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.

Achim Zeileis

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