ACHIM ZEILEIS, FRIEDRICH LEISCH,CHRISTIAN KLEIBER AND KURT HORNIK

SUMMARY
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 situation—given
a history period for which a regression relationship is known to be stable, we test whether incoming data
are consistent with the previously established relationship. Procedures based on estimates of the regression
coefficients are extended in three directions: we introduce (a) procedures based on OLS residuals, (b) rescaled
statistics and (c) alternative asymptotic boundaries. Compared to the existing tests our extensions offer ease of
computation, improved size in finite samples for dynamic models and better power against certain alternatives,
respectively. We apply our methods to three data sets, German M1 money demand, US labour productivity
and S&P 500 stock returns. Copyright  2005 John Wiley & Sons, Ltd.