Learn R Programming
⚠️There's a newer version (1.5-4) of this package.Take me there.

strucchange (version 0.9-6)

Testing for Structural Change

Description

Testing for structural change in linear regression relationships. It 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. Furthermore it is possible to monitor incoming data online.

Copy Link

Version

Install

install.packages('strucchange')

Monthly Downloads

39,139

Version

0.9-6

License

GPL

Maintainer

Achim Zeileis

Last Published

September 2nd, 2024

Functions in strucchange (0.9-6)

Fstats

F Statistics
strucchange.internal

Internal strucchange objects
root.matrix

Root of a Matrix
plot.mefp

Plot Methods for mefp Objects
mefp

Monitoring of Empirical Fluctuation Processes
sctest.formula

Structural Change Tests
boundary.efp

Boundary for Empirical Fluctuation Processes
sctest.Fstats

supF-, aveF- and expF-Test
plot.efp

Plot Empirical Fluctuation Process
boundary.mefp

Boundary Function for Monitoring of Structural Changes
plot.Fstats

Plot F Statistics
boundary

Boundary Function for Structural Change Tests
sctest.efp

Generalized Fluctuation Tests
boundary.Fstats

Boundary for F Statistics
USIncExp

Income and Expenditures in the US
efp

Empirical Fluctuation Process
covHC

Heteroskedasticity-Consistent Covariance Matrix Estimation