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strucchange (version 1.2-6)

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.

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Install

install.packages('strucchange')

Monthly Downloads

30,328

Version

1.2-6

License

GPL

Maintainer

Last Published

November 2nd, 2004

Functions in strucchange (1.2-6)