NEWS.md

In CPAT: Change Point Analysis Tests

CPAT News

Version 0.1.0

• Created Andrews.test(), a function that implements D. W. K. Andrews' test for end-of-sample instability, both for univariate and regression data
• Created DE.test(), a function that implements the Darling-Erdös test for structural change
• Created HS.test(), a function that implements the Hidalgo-Seo test for structural change
• Created HR.test(), a function that implements the Horváth et. al. test for structural change
• Created CUSUM.test(), a function that implements the CUSUM test for structural change
• Created ff, a data set containing Fama-French five factor data
• Created banks, a data set containing the returns of a portfolio of banking sector stocks, as compiled by K. French
• Files and functions related to simulations done for the accompanying paper were removed

Version 0.0.0.9000

Setup

• Package CPAT created.

CPAT documentation built on May 1, 2019, 6:51 p.m.