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strucchange (version 1.5-3)

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

24,577

Version

1.5-3

License

GPL-2 | GPL-3

Maintainer

Achim Zeileis

Last Published

June 15th, 2022

Functions in strucchange (1.5-3)

SP2001

S&P 500 Stock Prices
DJIA

Dow Jones Industrial Average
PhillipsCurve

UK Phillips Curve Equation Data
boundary

Boundary Function for Structural Change Tests
durab

US Labor Productivity
breakdates

Breakdates Corresponding to Breakpoints
efp

Empirical Fluctuation Processes
catL2BB

Generators for efpFunctionals along Categorical Variables
boundary.efp

Boundary for Empirical Fluctuation Processes
boundary.mefp

Boundary Function for Monitoring of Structural Changes
breakpoints

Dating Breaks
plot.efp

Plot Empirical Fluctuation Process
plot.Fstats

Plot F Statistics
confint.breakpointsfull

Confidence Intervals for Breakpoints
logLik.breakpoints

Log Likelihood and Information Criteria for Breakpoints
mefp

Monitoring of Empirical Fluctuation Processes
solveCrossprod

Inversion of X'X
efpFunctional

Functionals for Fluctuation Processes
sctest.formula

Structural Change Tests in Linear Regression Models
gefp

Generalized Empirical M-Fluctuation Processes
supLM

Generators for efpFunctionals along Continuous Variables
strucchange.internal

Internal strucchange objects
scPublications

Structural Change Publications
root.matrix

Root of a Matrix
sctest

Structural Change Tests
sctest.Fstats

supF-, aveF- and expF-Test
plot.mefp

Plot Methods for mefp Objects
sctest.default

Structural Change Tests in Parametric Models
sctest.efp

Generalized Fluctuation Tests
recresid

Recursive Residuals
Grossarl

Marriages, Births and Deaths in Grossarl
BostonHomicide

Youth Homicides in Boston
USIncExp

Income and Expenditures in the US
GermanM1

German M1 Money Demand
Fstats

F Statistics
boundary.Fstats

Boundary for F Statistics
breakfactor

Factor Coding of Segmentations
RealInt

US Ex-post Real Interest Rate