strucchange (version 1.4-5)
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.