Testing and dating of structural changes in practice

被引：560

作者：

Zeileis, A

Kleiber, C

Krämer, W

Hornik, K

机构：

[1] Univ Dortmund, Inst Wirtschafts & Sozialstat, D-44221 Dortmund, Germany

[2] Vienna Tech Univ, Inst Stat & Wahrscheinlichkeitstheorie, A-1040 Vienna, Austria

[3] Wirtschaft Univ Wien, Inst Stat, A-1090 Vienna, Austria

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2003年 / 44卷 / 1-2期

基金：

奥地利科学基金会;

关键词：

structural change; changepoint problem; segmented regressions; R; S; bellman principle;

D O I：

10.1016/S0167-9473(03)00030-6

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：109 / 123

页数：15

共 24 条

[1] OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT ONLY UNDER THE ALTERNATIVE [J].