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.

Total

1,155,619

Last month

39,246

Last week

9,564

Average per day

1,308

Daily downloads

Total downloads

Description file content

Package
strucchange
Version
1.5-2
Date
2019-10-12
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, utils
License
GPL-2 | GPL-3
NeedsCompilation
yes
Packaged
2019-10-12 07:22:10 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
2019-10-12 18:35:49 UTC

install.packages('strucchange')

1.5-2

a month ago

Achim Zeileis

GPL-2 | GPL-3

Depends on

R (>= 2.10.0), zoo, sandwich

Imports

graphics, stats, utils

Suggests

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

Discussions