[R] Help on R strucchange package

[Achim Zeileis]

On Mon, 19 Jul 2010, João Boavida wrote:

> I???m using strucchange package in R software in order to apply Bai and
> Peron (1998, 2003) structural break tests. This sequential procedure
> includes: 1) Sup F test; 2) double maximum tests and 3) supFT (l+1/ l)
> tests.

Thanks for your interest, but you have sent this e-mail twice to me 
personally and twice to the list which is three e-mails too many. Either 
send one e-mail to me personally, or send an e-mail to the list with cc to 
me. See the posting guide for details.

> Could anyone help me to perform such tests in R, please?

The "strucchange" package implements the supF test for 0-vs-1 breaks (in 
BP terminology). The 0-vs-m and l-vs-l+1 tests (in BP terminology) are not 
implemented.

For choosing the number of breaks, I typically employ a slightly different 
strategy:
   - perform a structural change test graphically (conveying information
     about the number and timing of potential breaks),
   - estimate breakpoints for m = 1, ..., M.
   - visualize associated RSS and BIC (or the modified BIC called LWZ),
   -> choose number of breaks.

A paper showing this strategy in practice is:

   Achim Zeileis, Christian Kleiber, Walter Krämer, Kurt Hornik (2003).
   Testing and Dating of Structural Changes in Practice.
   Computational Statistics & Data Analysis, 44(1-2), 109-123.

A preprint version is available on my webpage.

Another paper which essentially uses the same idea but in a somewhat 
updated setting is

   Achim Zeileis, Ajay Shah, Ila Patnaik (2010). Testing, Monitoring, and
   Dating Structural Changes in Exchange Rate Regimes.
   Computational Statistics & Data Analysis, 54(6), 1696-1706.

The preprint version is also on my webpage and all replication files are 
in the package "fxregime".

hth,
Z