strucchange v1.4-4

0

Monthly downloads

0th

Percentile

by Achim Zeileis

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!

Last month downloads

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

Include our badge in your README

[![Rdoc](http://www.rdocumentation.org/badges/version/strucchange)](http://www.rdocumentation.org/packages/strucchange)