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strucchange (version 1.4-4)

Testing, Monitoring and Dating Structural Changes

Description

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.

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Version

Install

install.packages('strucchange')

Monthly Downloads

33,576

Version

1.4-4

License

GPL-2

Maintainer

Achim Zeileis

Last Published

May 13th, 2011

Functions in strucchange (1.4-4)

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