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Computational Statistics & Data Analysis
Volume 44, Issues 1-2, 28 October 2003, Pages 109-123
Special Issue in Honour of Stan Azen: a Birthday Celebration
 
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doi:10.1016/S0167-9473(03)00030-6    How to Cite or Link Using DOI (Opens New Window)
Copyright © 2003 Elsevier B.V. All rights reserved.

Testing and dating of structural changes in practice

Achim Zeileisa, Christian KleiberCorresponding Author Contact Information, E-mail The Corresponding Author, b, Walter Krämerb and Kurt Hornikc

a Institut für Statistik und Wahrscheinlichkeitstheorie, Technische Universität Wien, Wiedner Hauptstraße 8-10/1071, A-1040, Wien, Austria b Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund, Vogelpothsweg 78, D-44221, Dortmund, Germany c Institut für Statistik, Wirtschaftsuniversität Wien, Augasse 2-6, A-1090, Wien, Austria

Received 10 July 2002; 
revised 10 December 2002. 
Available online 20 March 2003.

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Abstract

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 Image 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.

Author Keywords: Structural change; Changepoint problem; Segmented Regressions; Image ; Image ; Bellman principle

Article Outline

1. Introduction
2. Model and methods
2.1. The model
2.2. The tests
2.3. Dating structural changes
3. Software
4. Applications
4.1. The Nile data
4.2. The seatbelt data
4.3. The oil price data
5. Outlook and summary
Acknowledgements
References














Computational Statistics & Data Analysis
Volume 44, Issues 1-2, 28 October 2003, Pages 109-123
Special Issue in Honour of Stan Azen: a Birthday Celebration
 
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