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strucchange: 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.
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Package details |
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| Author | Achim Zeileis [aut, cre] (<https://orcid.org/0000-0003-0918-3766>), Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb], Edgar C. Merkle [ctb], Nikolaus Umlauf [ctb] |
| Maintainer | Achim Zeileis <Achim.Zeileis@R-project.org> |
| License | GPL-2 | GPL-3 |
| Version | 1.5-4 |
| Package repository | View on CRAN |
| Installation |
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