Testing and dating of structural changes in practice

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The set of breakpoints which is associated by default with a .

Convenience functions are provided for extracting the coefficients and covariance matrix, fitted values and residuals of segmented models.

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 series as well as in the coefficients of a linear regression are easily matched with identifiable historical, political or economic events.

The article and its images are used with permission from Hunting & Weapons magazine.