Testing and dating of structural changes in practice

By Achim Zeileis, Christian Kleiber, Walter Krämer, Kurt Hornik. Computational Statistics & Data Analysis, 2003

807 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4d512b2087d7b0fbc29e6a4e7e77606d55cfad5d

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Citations in the corpus

Strucchange: An R package for testing for structural change in linear regression models (2002, neutral): “The corresponding functions in strucchange are presented in Zeileis et al. (2003) and Zeileis (2006).”
A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals (2005, methodology): “For k = 1 the squared critical values from Zeileis et al. (2005) can be used and are given in Table 2 in the appendix along with new critical values for k > 1.”
WAX AND WANE OF MICROCYSTIS (CYANOPHYCEAE) AND MICROCYSTINS IN LAKE SEDIMENTS: A CASE STUDY IN QUITZDORF RESERVOIR (GERMANY) 1 (2005, methodology): “Within this framework, a procedure detecting breakpoints in time series was applied (Bai and Perron 2003, Zeileis et al. 2003), which selects the optimal number of breakpoints by means of the Bayesian information criterion.”
Did the Crisis Affect Inflation Expectations (2012, neutral): “the rolling Chow tests (see Zeileis et al. 2003).”
What has driven oil prices since 2000? A structural change perspective (2011, methodology): “Zeileis et al. (2003) applied OLS–CUSUM test method based on OLS residuals to examine Germany import crude oil price series, and found that there were significant structural change characteristics in oil price and the structural breaks obviously correspond to major energy-related events.”
Trend Change Detection in NDVI Time Series: Effects of Inter-Annual Variability and Methodology (2013, neutral): “The optimal position of a breakpoint is estimated by minimizing the residual sum of squares of this regression [37,42].”
Comparison of homogeneity tests for temperature using a simulation study (2016, methodology): “Calculations can be handled using the R package strucchange (R-development Core Team, 2013), which is implemented by Zeileis et al. (2003).”
Model-Based Recursive Partitioning (2008, methodology): “This very general framework for testing parameter stability is called generalized M-ﬂuctuation test and has been established by Zeileis and Hornik (2007).”
ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data (2013, methodology): “Additionally, if the number of changes is known a priori then the breakpoints method (Zeileis et al., 2003) can be used to perform retrospective analysis.”
bcp: An R Package for Performing a Bayesian Analysis of Change Point Problems (2007, methodology): “The RealInt dataset may be found in the strucchange package (Zeileis et al. 2002, 2003) and was examined in Bai and Perron (2003) and Garcia and Perron (1996).”
Inference for single and multiple change‐points in time series (2013, methodology): “Included among them are Hinkley and Schechtman (1987), Carlstein (1988), Dümbgen (1991), MacNeill et al. (1991), Muller (1992), Balke (1993), Brillinger (1994), Zeileis et al. (2003), Guan (2004) and Giron et al. (2007).”
Ecological thresholds and regime shifts: approaches to identification. (2009, methodology): “Sequential test methods have mainly been developed for univariate time series, particularly within econometrics [17, 39] (Box 3) and climate research [40, 41] (Box 3).”