Test
In general, the CUSUM (cumulative sum) and CUSUM-sq (CUSUM squared) tests can be used to test the constancy of the coefficients in a model. The bounds test can also be used.
For a linear model with one known single break in mean, the Chow test is often used. If the single break in mean is unknown, then Hartley's test may be appropriate. Other challenges are where there are:
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- a known number of unknown breaks in mean;
- an unknown number of (unknown) breaks in mean;
- breaks in variance.
The Chow test is not applicable for these situations.
For nonstationary process, there are many more challenges. For a cointegration model, the Gregory and Hansen test (1996) is used for one unknown structural break, and the Hatemi-J test (2006) is used for two unknown breaks.
There are several programs that can be used to find structural breaks, including R (open source) and GAUSS.
Read more about this topic: Structural Break
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