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

Computational Statistics and Data Analysis

Volumn 50, Issue 11, 2006, Pages 2987-3008

  Zeileis, Achim ^a  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

Author keywords

Econometric computing; Fluctuation tests; M estimation; R; Structural change

Indexed keywords

FUNCTIONAL ASSESSMENT; NUMERICAL ANALYSIS; STATISTICAL METHODS;

CONCEPTUAL TOOLS; ECONOMETRIC COMPUTING; FLUCTUATION TESTS; M-ESTIMATION; R; STRUCTURAL CHANGE;

COMPUTER SOFTWARE;

EID: 33646734859     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2005.07.001     Document Type: Article

References (31)

1. Andrews D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59 (1991) 817-858
2. Andrews D.W.K. Tests for parameter instability and structural change with unknown change point. Econometrica 61 (1993) 821-856
3. Andrews D.W.K., and Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62 (1994) 1383-1414
4. Brown R.L., Durbin J., and Evans J.M. Techniques for testing the constancy of regression relationships over time. J. Roy. Statist. Soc. B 37 (1975) 149-163
5. Chambers J.M., and Hastie T.J. Statistical Models in S (1992), Chapman & Hall, London
6. Cribari-Neto F. Asymptotic inference under heteroskedasticity of unknown form. Comput. Statist. Data Anal. 45 (2004) 215-233
7. Cribari-Neto F., and Zarkos S.G. ce:sans-serif(R): Yet another econometric programming environment. J. Appl. Econometrics 14 (1999) 319-329
8. de Bustamante Simas, A., 2004. betareg: Beta Regression. R package version 1.0-1.
9. Dolnicar S., and Leisch F. Behavioral market segmentation using the bagged clustering approach based on binary guest survey data: Exploring and visualizing unobserved heterogeneity. Tourism Anal. 5 2-4 (2000) 163-170
10. Doornik J.A. Object-oriented programming in econometrics and statistics using Ox: A comparison with C++, Java and C#. In: Nielsen S. (Ed). Programming Languages and Systems in Computational Economics and Finance (2002), Kluwer Academic Publishers, Dordrecht 115-147
11. Ferrari S.L.P., and Cribari-Neto F. Beta regression for modelling rates and proportions. J. Appl. Statist. 31 (2004) 799-815
12. Gentleman R., and Ihaka R. Lexical scope and statistical computing. J. Computat. Graph. Statist. 9 3 (2000) 419-508
13. Hansen B.E. Testing for parameter instability in linear models. J. Policy Model. 14 (1992) 517-533
14. Hjort N.L., and Koning A. Tests for constancy of model parameters over time. Nonparametric Statist. 14 (2002) 113-132
15. Krämer W., and Schotman P. Range vs. maximum in the OLS-based version of the CUSUM test. Econom. Lett. 40 (1992) 379-381
16. Kuan C.-M., and Hornik K. The generalized fluctuation test: A unifying view. Econometric Rev. 14 (1995) 135-161
17. Leisch F., and Rossini A.J. Reproducible statistical research. Chance 16 2 (2003) 46-50
18. Lumley T., and Heagerty P. Weighted empirical adaptive variance estimators for correlated data regression. J. Roy. Statist. Soc. B 61 (1999) 459-477
19. McCullough B.D., and Vinod H.D. Verifying the solution from a nonlinear solver: A case study. Amer. Econom. Rev. 93 (2003) 873-892
20. Nyblom J. Testing for the constancy of parameters over time. J. Am. Statist. Assoc. 84 (1989) 223-230
21. Piehl A.M., Cooper S.J., Braga A.A., and Kennedy D.M. Testing for structural breaks in the evaluation of programs. Rev. Econom. Statist. 85 3 (2003) 550-558
22. Ploberger W., and Krämer W. The CUSUM test with OLS residuals. Econometrica 60 2 (1992) 271-285
23. Ploberger W., and Krämer W. A trend-resistant test for structural change based on OLS residuals. J. Econometrics 70 (1996) 175-185
24. Racine J., and Hyndman R. Using ce:sans-serif(R) to teach econometrics. J. Appl. Econometrics 17 (2002) 175-189
25. ce:sans-serif(R) Development Core Team, 2005. ce:sans-serif(R): A Language and Environment for Statistical Computing. ce:sans-serif(R) Foundation for Statistical Computing, Vienna, Austria, ISBN 3-900051-00-3. URL http://www.R-project.org/
26. White H. A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity. Econometrica 48 (1980) 817-838
27. Zeileis A. Alternative boundaries for CUSUM tests. Statist. Papers 45 (2004) 123-131
28. Zeileis A. Econometric computing with HC and HAC covariance matrix estimators. J. Statist. Software 11 10 (2004) 1-17. http://www.jstatsoft.org/v11/i10/ URL http://www.jstatsoft.org/v11/i10/
29. Zeileis, A., Hornik, K., May 2003. Generalized M-fluctuation tests for parameter instability. Report 80, SFB Adaptive information systems and modelling in economics and management science. URL http://www.wu-wien.ac.at/am/reports.htm#80
30. Zeileis A., Leisch F., Hornik K., and Kleiber C. strucchange: An R package for testing for structural change in linear regression models. J. Statist. Software 7 2 (2002) 1-38. http://www.jstatsoft.org/v07/i02/ URL http://www.jstatsoft.org/v07/i02/
31. Zeileis A., Kleiber C., Krämer W., and Hornik K. Testing and dating of structural changes in practice. Computat. Statist. Data Anal. 44 1-2 (2003) 109-123