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Zeileis, Achim
Kleiber, Christian
Krämer, Walter
Hornik, Kurt
Year of Publication: 
Series/Report no.: 
Technical Report 2002,39
The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. 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.
structural change
changepoint problem
segmented regressions
Bellman principle
Document Type: 
Working Paper

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