[R] Structural break test Andrews (2003)
Achim.Zeileis at uibk.ac.at
Mon Nov 25 15:04:54 CET 2013
On Mon, 25 Nov 2013, Geoffrey Smith wrote:
> Dear Friends, I am looking for an R version of the structural break test
> in Andrews (2003). The excellent strucchange package does not include
> this test (yet?). Is this test available in another package? If not,
> might there already be a function written to do this test? Thank you
> very much.
> Citation: Andrews, D.W.K. (2003), End-of-Sample Instability Tests.
> Econometrica, 71: 1661?1694.
To the best of my knowledge there is no R package that implements this
test. (If there is please let me know.)
I decided not to implement it in "strucchange" because I found the
"monitoring" framework formulated by Chu et al. (1996, Econometrica) more
useful for tackling changes that occur after a certain point in time only.
See ?mefp and the references therein for a detailed discussion of the
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