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mbreaks

Update structural break library in R

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Install

install.packages('mbreaks')

Monthly Downloads

540

Version

1.0.0

License

MIT + file LICENSE

Issues

1

Pull Requests

0

Stars

0

Forks

2

Maintainer

Linh Nguyen

Last Published

January 23rd, 2023

Functions in mbreaks (1.0.0)

compile_model

Format output of n break model
compile_sbtests

Compile the output of Sup Wald test
diag_par

Diagonal partition given break dates
dating

Computation of global minimizer for pure structural change model
nldat

Computation of global minimizer for partial structural change model
dofix

Estimate a model with pre-specified number of breaks
doglob

Global SSR minimizer for structural change model
nkpc

New Keynesian Phillips curve data
plot_model

Plot structural change model
print.mdl

Print information of mbreaks comprehensive procedure
plambda

Construct diagonal matrix according to break date
psigmq

Construct diagonal matrix of estimated variance
interval

Estimatd break confidence interval
mdl

Comprehensive structural change estimation and testing
spflp1

SupF(l+1|l) test
pftest

SupF test for 0 vs i breaks
print.seqtests

Print sequential SupF tests
real

World Health Organization TB data
doseqtests

Sequential Sup F tests
compile_seqtests

Compile the output of sequential Sup Wald test
correct

Heteroskedasticy and autocorrelation consistency correction for residuals
estim

Structural change model estimation
dotest

SupF, UDMax & WDMax testing procedure
print.model

Summary output of a structural breaks model
print.sbtests

Print Sup F and UDMax tests
dosequa

Estimating number of breaks using sequential tests
dorepart

Estimating number of breaks using repartition procedure
doorder

Estimating number of breaks via information criterion