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

DOI10.1016/J.CSDA.2005.07.001MaRDI QIDQ959387zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Achim Zeileis

Publication date 11 December 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2005.07.001

zbMATH Keywords

econometric computingfluctuation testsM-estimationstructural change

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A trend-resistant test for structural change based on OLS residuals
• Alternative boundaries for CUSUM tests
• Asymptotic inference under heteroskedasticity of unknown form
• Beta Regression for Modelling Rates and Proportions
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Range vs. maximum in the OLS-based version of the CUSUM test
• Testing and dating of structural changes in practice
• Testing for the Constancy of Parameters Over Time
• Tests For Constancy Of Model Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Cusum Test with Ols Residuals
• The generalized fluctuation test: A unifying view
• Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression

Cited in

(17)

• On the robust detection of edges in time series filtering
• Improving EWMA plans for detecting unusual increases in Poisson counts
• Score-based tests of differential item functioning via pairwise maximum likelihood estimation
• Modified sequential change point procedures based on estimating functions
• strucchange
• Tests of measurement invariance without subgroups: a generalization of classical methods
• Gaussian copula marginal regression
• Network trees: a method for recursively partitioning covariance structures
• A note on the structural change test in highly parameterized psychometric models
• Testing, monitoring, and dating structural changes in exchange rate regimes
• Testing for measurement invariance with respect to an ordinal variable
• Modeling the impact of hepatitis C viral clearance on end-stage liver disease in an HIV co-infected cohort with targeted maximum likelihood estimation
• Early warning CUSUM plans for surveillance of negative binomial daily disease counts
• Changepoint estimation in a segmented linear regression via empirical likelihood
• Likelihood asymptotics in nonregular settings: a review with emphasis on the likelihood ratio
• A co-segmentation algorithm to predict emotional stress from passively sensed mHealth data
• Nonparametric estimation of the link function including variable selection

Describes a project that uses

Uses Software

• betareg
• R

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