2003
DOI: 10.1016/s0167-9473(03)00030-6
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Testing and dating of structural changes in practice

Abstract: The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement 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 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 changes in the mean of a time s… Show more

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Cited by 667 publications
(485 citation statements)
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References 26 publications
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“…MSC analyses, including estimation of the optimal number of breakpoints with the Bayesian information criterion (BIC) and estimation of breakpoint positions with their 95 % confidence intervals (CI) for all cell length profiles were performed using the breakpoints function of the R 'strucchange' package (Zeileis et al, 2002(Zeileis et al, , 2003. The breakpoints function estimates multiple breakpoints simultaneously, implementing an algorithm that obtains global minimizers of the sum of squared residuals (Bai and Perron, 2003).…”
Section: Quantitative Analysismentioning
confidence: 99%
“…MSC analyses, including estimation of the optimal number of breakpoints with the Bayesian information criterion (BIC) and estimation of breakpoint positions with their 95 % confidence intervals (CI) for all cell length profiles were performed using the breakpoints function of the R 'strucchange' package (Zeileis et al, 2002(Zeileis et al, , 2003. The breakpoints function estimates multiple breakpoints simultaneously, implementing an algorithm that obtains global minimizers of the sum of squared residuals (Bai and Perron, 2003).…”
Section: Quantitative Analysismentioning
confidence: 99%
“…The maximum number of breaks m is set to 2 in our model because the recursive estimates test (Ploberger et al, 1989) and F statistics test (Andrews, 1993) suggested that m = 2 is the favored model compared with other models. After setting m to 2, the statistically optimal number of breaks was identified when the residual sum of squares (RSS) and the Bayesian information criterion (BIC) became the smallest (see Zeileis et al, 2003). For the BP procedure, we mostly followed the explanation given in Zeileis et al (2003).…”
Section: Methodsmentioning
confidence: 99%
“…After setting m to 2, the statistically optimal number of breaks was identified when the residual sum of squares (RSS) and the Bayesian information criterion (BIC) became the smallest (see Zeileis et al, 2003). For the BP procedure, we mostly followed the explanation given in Zeileis et al (2003).…”
Section: Methodsmentioning
confidence: 99%
“…To ensure that growth transitions are not confounded with business cycles, for our data the search utilizes a parameter of ε = 0.15, corresponding to the minimal size of h = 15 yearly observations; this amounts to allowing simultaneous calculation for up to m = 5 breaks. The technique suggested by BP has been implemented in a unified way in the package strucchange (Zeileis et al 2002(Zeileis et al , 2003Zeileis and Kleiber 2005) for the statistical software R (http://www.R-project.org/), which is the one upon which we rely in the present study. 13 The two World Wars periods 1914-1921 and 1940-1950, marked as shaded areas in the figure, have been excluded from calculations in order to avoid significant reductions in power of the test.…”
Section: Yearmentioning
confidence: 99%