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strucchange (version 1.5-1)

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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Install

install.packages('strucchange')

Monthly Downloads

34,154

Version

1.5-1

License

GPL-2 | GPL-3

Maintainer

Last Published

June 6th, 2015

Functions in strucchange (1.5-1)