Testing and dating of structural changes in (2008)
Achim Zeileis, Christian Kleiber, Kurt Hornik, Walter Krämer
practice
Approximate replication of high-breakdown robust regression techniques (2008)
Zeileis, Achim, Kleiber, Christian
This paper demonstrates that even regression results obtained by techniques close to the standard ordinary least squares (OLS) method can be difficult to replicate if a stochastic model fitting...
Regression Models for Count Data in R (2008)
Achim Zeileis, Christian Kleiber, Simon Jackman
The classical Poisson, geometric and negative binomial regression models for count data belong to the family of generalized linear models and are available at the core of the statistics toolbox in...
The Grunfeld Data at 50 (2008)
Kleiber, Christian, Zeileis, Achim
This paper revisits Grunfeld's well-known investment data, one of the most widely used data sets in all of econometrics, on the occasion of their 50th anniversary. It presents, apparently for the...
The Grunfeld Data at 50 (2008)
Kleiber, Christian, Zeileis, Achim
This paper revisits Grunfeld's well-known investment data, one of the most widely used data sets in all of econometrics, on the occasion of their 50th anniversary. It presents, apparently for the...
Finite sample efficiency of OLS in linear regression models with long-memory disturbances (2007)
OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region, provided the model contains a...
Depends R (> = 1.3.0) License GPL R topics documented: (2007)
Achim Zeileis, Friedrich Leisch, Bruce Hansen, Kurt Hornik, Christian Kleiber, Andrea Peters
Description Testing on structural change in linear regression relationships. It features tests/methods from the generalized fluctuation test framework as well as from the F test (Chow test)...
Regression Models for Count Data in R (2007)
Zeileis, Achim, Kleiber, Christian, Jackman, Simon
The classical Poisson, geometric and negative binomial regression models for count data belong to the family of generalized linear models and are available at the core of the statistics toolbox in...
The Lorenz curve in economics and econometrics (2005)
This paper surveys selected applications of the Lorenz curve and related stochastic orders in economics and econometrics, with a bias towards problems in statistical distribution theory. These...
Validating multiple structural change models (2005)
Zeileis, Achim, Kleiber, Christian
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models along with several...
Validating multiple structural change models—a case study (2005)
Achim Zeileis, Christian Kleiber
comprehensive discussion of computational aspects of multiple structural change models along with several empirical examples. Here, we report on the results of a replication study using the R...
Validating multiple structural change models (2004)
Zeileis, Achim, Kleiber, Christian
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models along with several...
The generalized lognormal distribution as an income distribution (2003)
Kleiber,Christian, Scheid,Stefanie
Over the last 100 years, a large number of distributions has been proposed for the modeling of size phenomena, notably the size distribution of personal incomes (see, for example, Kleiber and Kotz,...
The generalized lognormal distribution as an income distribution (2003)
Kleiber, Christian, Scheid, Stefanie
Over the last 100 years, a large number of distributions has been proposed for the modeling of size phenomena, notably the size distribution of personal incomes (see, for example, Kleiber and Kotz,...
The Generalized Lognormal Distribution as an Income Distribution (2003)
Christian Kleiber, Stefanie Scheid
Introduction Over the last 100 years, a large number of distributions has been proposed for the modeling of size phenomena, notably the size distribution of personal incomes (see, for example,...
Testing and dating of structural changes in practice (2003)
Achim Zeileis, Christian Kleiber, Walter Krämer, Kurt Hornik
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...
strucchange: an R package for Testing for Structural Change in Linear Regression Models (2002)
Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber
Monitoring structural change in dynamic econometric models (2002)
Zeileis, Achim, Leisch, Friedrich, Kleiber, Christian, Hornik, Kurt
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a...
strucchange: an R package for Testing for Structural Change in Linear Regression Models (2002)
Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber
strucchange: An R Package for Testing for Structural Change in Linear Regression Models (2002)
Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber
This paper introduces ideas and methods for testing for structural change in linear regression models and presents how these have been realized in an R package called strucchange. It features tests...
strucchange: An R Package for Testing for Structural Change in Linear Regression Models (2002)
In Cooperation, Achim Zeileis, Achim Zeileis, Friedrich Leisch, Friedrich Leisch, Kurt Hornik, ...
Papers published in this report series are preliminary versions of journal articles. This paper was accepted for publication in:
Monitoring Structural Change in Dynamic Econometric Models (2002)
Kleiber Kurt Hornik, In Cooperation, Achim Zeileis, Achim Zeileis, Friedrich Leisch, Friedrich Leisch, ...
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a...
Monitoring Structural Change in Dynamic Econometric Models (2002)
Hornik, Kurt, Kleiber, Christian, Leisch, Friedrich, Zeileis, Achim
Testing and Dating of Structural Changes in Practice (2002)
Hornik, Kurt, Kleiber, Christian, Krämer, Walter, Zeileis, Achim
Zeileis, Achim, Leisch, Friedrich, Hornik, Kurt, Kleiber, Christian
This paper introduces ideas and methods for testing for structural change in linear regression models and presents how these have been realized in an R package called strucchange. It features tests...
Strucchange: An R Package for Testing for Structural Change in Linear Regression Models (2001)
Hornik, Kurt, Kleiber, Christian, Leisch, Friedrich, Zeileis, Achim
Finite sample efficiency of OLS in linear regression models with long-memory disturbances (2000)
OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region, provided the model contains a...
Halbordnungen von Einkommensverteilungen / (1998)
Dortmund, Universiẗat, Diss., 1998.
Halle, Med. F., Diss. v. 15. Nov. 1966 (Nicht f. d. Aust.).
Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances
Christian Kleiber, Walter Krämer
We consider the finite-sample power of various tests against serial correlation in the disturbances of a linear regression model when these disturbances follow certain stationary long-memory...
Bequests, Taxation and the Distribution of Wealth in a General Equilibrium Model
Christian Kleiber, Martin Sexauer, Klaus Wälde
This paper examines the role of bequests and of taxation on bequests for the distribution of wealth. We investigate a model with overlapping generations and heterogeneous households where parents...
strucchange: An R Package for Testing for Structural Change in Linear Regression Models
Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber
This paper reviews tests for structural change in linear regression models from the generalized fluctuation test framework as well as from the F test (Chow test) framework. It introduces a unified...
Efficiency, Equity, and Generalized Lorenz Dominance
Christian Kleiber, Walter Kraemer
We decompose the generalized Lorenz order into a size and a distribution component. The former is represented by stochastic dominance, the latter by the standard Lorenz order. We show that it is...
Testing and dating of structural changes in practice
Zeileis, Achim, Kleiber, Christian, Kramer, Walter, Hornik, Kurt
Bequests, taxation and the distribution of wealth in a general equilibrium model
Bossmann, Martin, Kleiber, Christian, Walde, Klaus
This paper examines the role of bequests and of taxation on bequests for the distribution of wealth. We investigate a model with overlapping generations and heterogenous households where parents...
Validating multiple structural change models-a case study
Christian Kleiber, Achim Zeileis
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models along with several...
Monitoring structural change in dynamic econometric models
Kurt Hornik, Friedrich Leisch, Christian Kleiber, Achim Zeileis
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a...
A characterization of income distributions in terms of generalized Gini coefficients
Samuel Kotz, Christian Kleiber
Most commonly used parametric models for the size distribution of incomes possess only a few finite moments, and hence cannot be characterized by the sequence of their moments. However, all income...
Variability ordering of heavy-tailed distributions with applications to order statistics
Based on a necessary condition for variability ordering of distributions with regularly varying tails it is shown that, for such distributions, order statistics from the same sample are not...