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Structural break test Andrews (2003)
2 messages · Geoffrey Smith, Achim Zeileis
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 "monitoring" framework. Best, Z
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