strucchange

Testing, Monitoring, and Dating Structural Changes

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.

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Description file content

Package
strucchange
Version
1.5-1
Date
2015-06-06
Title
Testing, Monitoring, and Dating Structural Changes
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.
LazyData
yes
Depends
R (>= 2.10.0), zoo, sandwich
Suggests
stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries
Imports
graphics, stats
License
GPL-2 | GPL-3
NeedsCompilation
no
Packaged
2015-06-06 10:01:15 UTC; zeileis
Author
Achim Zeileis [aut, cre], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb], Edgar C. Merkle [ctb]
Maintainer
Achim Zeileis
Repository
CRAN
Date/Publication
2015-06-06 13:03:15

install.packages('strucchange')

1.5-1

04 years ago

Achim Zeileis

GPL-2 | GPL-3

Depends on

R (>= 2.10.0), zoo, sandwich

Imports

graphics, stats

Suggests

stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries

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