strucchange v1.4-4
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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.
Functions in strucchange
| Name | Description | |
| BostonHomicide | Youth Homicides in Boston | |
| RealInt | US Ex-post Real Interest Rate | |
| Fstats | F Statistics | |
| breakdates | Breakdates Corresponding to Breakpoints | |
| recresid | Recursive Residuals | |
| boundary.Fstats | Boundary for F Statistics | |
| confint.breakpointsfull | Confidence Intervals for Breakpoints | |
| root.matrix | Root of a Matrix | |
| SP2001 | S&P 500 Stock Prices | |
| logLik.breakpoints | Log Likelihood and Information Criteria for Breakpoints | |
| plot.efp | Plot Empirical Fluctuation Process | |
| plot.Fstats | Plot F Statistics | |
| DJIA | Dow Jones Industrial Average | |
| boundary.mefp | Boundary Function for Monitoring of Structural Changes | |
| scPublications | Structural Change Publications | |
| sctest.efp | Generalized Fluctuation Tests | |
| breakpoints | Dating Breaks | |
| sctest.Fstats | supF-, aveF- and expF-Test | |
| boundary | Boundary Function for Structural Change Tests | |
| strucchange.internal | Internal strucchange objects | |
| efp | Empirical Fluctuation Processes | |
| Grossarl | Marriages, Births and Deaths in Grossarl | |
| plot.mefp | Plot Methods for mefp Objects | |
| PhillipsCurve | UK Phillips Curve Equation Data | |
| sctest.formula | Structural Change Tests | |
| breakfactor | Factor Coding of Segmentations | |
| durab | US Labor Productivity | |
| solveCrossprod | Inversion of X'X | |
| GermanM1 | German M1 Money Demand | |
| gefp | Generalized Empirical M-Fluctuation Processes | |
| USIncExp | Income and Expenditures in the US | |
| efpFunctional | Functionals for Fluctuation Processes | |
| mefp | Monitoring of Empirical Fluctuation Processes | |
| boundary.efp | Boundary for Empirical Fluctuation Processes | |
| No Results! | ||
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Details
| Date | 2011-05-13 |
| LazyLoad | yes |
| LazyData | yes |
| License | GPL-2 |
| Packaged | 2011-05-13 16:27:35 UTC; zeileis |
| Repository | CRAN |
| Date/Publication | 2011-05-13 17:13:35 |
| depends | base (>= 2.1.0) , graphics , R (>= 2.1.0) , sandwich , stats , zoo |
| suggests | car , dynlm , e1071 , foreach , lmtest , tseries |
| Contributors | Kurt Hornik, Achim Zeileis, Friedrich Leisch, Christian Kleiber, Bruce Hansen |
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