I have two lists of price (stock) and I need a method to detect if there are structural breaks inside those series. What method can I use?
For each serie I have around 600 prices (daily).
Thank you in advance
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$\begingroup$ What do you mean by structural breaks? $\endgroup$– ZachAug 24, 2011 at 19:40
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$\begingroup$ Hi! Take a look at en.wikipedia.org/wiki/Structural_break $\endgroup$– ECOtimeAug 24, 2011 at 21:24
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1 Answer
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Look at the strucchange package in R. From the description:
Testing, monitoring and dating structural changes in (linear) regression models. strucchange features tests/methods from the generalized fluctuation test framework as well as from the F test (Chow test) framework. This includes methods to fit, plot and test fluctuation processes (e.g., CUSUM, MOSUM, recursive/moving estimates) and F statistics, respectively. It is possible to monitor incoming data online using fluctuation processes. Finally, the breakpoints in regression models with structural changes can be estimated together with confidence intervals. Emphasis is always given to methods for visualizing the data.
answered Aug 24, 2011 at 22:13