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.
| Version: |
1.5-3 |
| Depends: |
R (≥ 2.10.0), zoo, sandwich |
| Imports: |
graphics, stats, utils |
| Suggests: |
stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries |
| Published: |
2022-06-15 |
| Author: |
Achim Zeileis 
[aut, cre],
Friedrich Leisch [aut],
Kurt Hornik [aut],
Christian Kleiber [aut],
Bruce Hansen [ctb],
Edgar C. Merkle [ctb],
Nikolaus Umlauf [ctb] |
| Maintainer: |
Achim Zeileis <Achim.Zeileis at R-project.org> |
| License: |
GPL-2 | GPL-3 |
| NeedsCompilation: |
yes |
| Citation: |
strucchange citation info |
| Materials: |
NEWS |
| In views: |
Econometrics, Environmetrics, Finance, TimeSeries |
| CRAN checks: |
strucchange results |
Documentation:
Downloads:
Reverse dependencies:
| Reverse depends: |
fxregime, party, vars |
| Reverse imports: |
AQEval, autostsm, CytoGLMM, demography, dLagM, ftsa, GVARX, memochange, nardl, phenopix, promotionImpact, rmweather, scDIFtest, semtree, sovereign, svars, tilingArray, TSS.RESTREND, VARshrink |
| Reverse suggests: |
AER, bcp, betareg, dynlm, ggfortify, glogis, lmtest, meboot, model4you, mstDIF, partykit, psychotree, sandwich, trend, zoo |
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