strucchange (version 1.0-0)
Testing for Structural Change
Description
Testing, dating and monitoring of structural change in
linear regression relationships.
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.