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multibreakeR: Tests for a Structural Change in Multivariate Time Series
Flexible implementation of a structural change point detection algorithm for multivariate time series. It authorizes inclusion of trends, exogenous variables, and break test on the intercept or on the full vector autoregression system. Bai, Lumsdaine, and Stock (1998) <doi:10.1111/1467-937X.00051>.
Getting started
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Package details |
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| Author | Loic Marechal [cre, aut] |
| Maintainer | Loic Marechal <loic.marechal@unil.ch> |
| License | GPL |
| Version | 0.1.0 |
| URL | https://github.com/loicym/multibreakeR |
| Package repository | View on CRAN |
| Installation |
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