[R] Structural break test Andrews (2003)

Achim Zeileis 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 
"monitoring" framework.


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