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strucchange (version 1.5-2)

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

44,407

Version

1.5-2

License

GPL-2 | GPL-3

Maintainer

Achim Zeileis

Last Published

October 12th, 2019

Functions in strucchange (1.5-2)

GermanM1

German M1 Money Demand
RealInt

US Ex-post Real Interest Rate
BostonHomicide

Youth Homicides in Boston
boundary.Fstats

Boundary for F Statistics
Fstats

F Statistics
DJIA

Dow Jones Industrial Average
Grossarl

Marriages, Births and Deaths in Grossarl
USIncExp

Income and Expenditures in the US
SP2001

S\&P 500 Stock Prices
PhillipsCurve

UK Phillips Curve Equation Data
catL2BB

Generators for efpFunctionals along Categorical Variables
boundary.mefp

Boundary Function for Monitoring of Structural Changes
breakdates

Breakdates Corresponding to Breakpoints
durab

US Labor Productivity
efp

Empirical Fluctuation Processes
mefp

Monitoring of Empirical Fluctuation Processes
logLik.breakpoints

Log Likelihood and Information Criteria for Breakpoints
plot.Fstats

Plot F Statistics
plot.efp

Plot Empirical Fluctuation Process
boundary

Boundary Function for Structural Change Tests
recresid

Recursive Residuals
boundary.efp

Boundary for Empirical Fluctuation Processes
plot.mefp

Plot Methods for mefp Objects
strucchange.internal

Internal strucchange objects
efpFunctional

Functionals for Fluctuation Processes
supLM

Generators for efpFunctionals along Continuous Variables
breakpoints

Dating Breaks
breakfactor

Factor Coding of Segmentations
solveCrossprod

Inversion of X'X
sctest.formula

Structural Change Tests in Linear Regression Models
root.matrix

Root of a Matrix
confint.breakpointsfull

Confidence Intervals for Breakpoints
scPublications

Structural Change Publications
gefp

Generalized Empirical M-Fluctuation Processes
sctest.Fstats

supF-, aveF- and expF-Test
sctest

Structural Change Tests
sctest.default

Structural Change Tests in Parametric Models
sctest.efp

Generalized Fluctuation Tests