strucchange v1.5-1

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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
efp Empirical Fluctuation Processes
plot.Fstats Plot F Statistics
boundary.mefp Boundary Function for Monitoring of Structural Changes
boundary Boundary Function for Structural Change Tests
USIncExp Income and Expenditures in the US
boundary.Fstats Boundary for F Statistics
supLM Generators for efpFunctionals along Continuous Variables
DJIA Dow Jones Industrial Average
confint.breakpointsfull Confidence Intervals for Breakpoints
sctest Structural Change Tests
sctest.default Structural Change Tests in Parametric Models
strucchange.internal Internal strucchange objects
catL2BB Generators for efpFunctionals along Categorical Variables
BostonHomicide Youth Homicides in Boston
breakfactor Factor Coding of Segmentations
root.matrix Root of a Matrix
sctest.efp Generalized Fluctuation Tests
plot.mefp Plot Methods for mefp Objects
logLik.breakpoints Log Likelihood and Information Criteria for Breakpoints
GermanM1 German M1 Money Demand
sctest.Fstats supF-, aveF- and expF-Test
PhillipsCurve UK Phillips Curve Equation Data
RealInt US Ex-post Real Interest Rate
SP2001 S\&P 500 Stock Prices
plot.efp Plot Empirical Fluctuation Process
Fstats F Statistics
Grossarl Marriages, Births and Deaths in Grossarl
breakpoints Dating Breaks
recresid Recursive Residuals
breakdates Breakdates Corresponding to Breakpoints
scPublications Structural Change Publications
efpFunctional Functionals for Fluctuation Processes
boundary.efp Boundary for Empirical Fluctuation Processes
sctest.formula Structural Change Tests in Linear Regression Models
mefp Monitoring of Empirical Fluctuation Processes
solveCrossprod Inversion of X'X
gefp Generalized Empirical M-Fluctuation Processes
durab US Labor Productivity
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Vignettes of strucchange

Name
strucchange-intro.Rnw
strucchange-intro.Rout.save
strucchange.bib
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Details

Date 2015-06-06
LazyData yes
License GPL-2 | GPL-3
NeedsCompilation no
Packaged 2015-06-06 10:01:15 UTC; zeileis
Repository CRAN
Date/Publication 2015-06-06 13:03:15

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