strucchange v1.5-2

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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
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
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Vignettes of strucchange

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

Date 2019-10-12
LazyData yes
License GPL-2 | GPL-3
NeedsCompilation yes
Packaged 2019-10-12 07:22:10 UTC; zeileis
Repository CRAN
Date/Publication 2019-10-12 18:35:49 UTC

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