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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