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.

Install the latest version of this package by entering the following in R:
install.packages("strucchange")
AuthorAchim Zeileis [aut, cre], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb], Edgar C. Merkle [ctb]
Date of publication2015-06-06 13:03:15
MaintainerAchim Zeileis <Achim.Zeileis@R-project.org>
LicenseGPL-2 | GPL-3
Version1.5-1

View on CRAN

Man pages

BostonHomicide: Youth Homicides in Boston

boundary: Boundary Function for Structural Change Tests

boundary.efp: Boundary for Empirical Fluctuation Processes

boundary.Fstats: Boundary for F Statistics

boundary.mefp: Boundary Function for Monitoring of Structural Changes

breakdates: Breakdates Corresponding to Breakpoints

breakfactor: Factor Coding of Segmentations

breakpoints: Dating Breaks

catL2BB: Generators for efpFunctionals along Categorical Variables

confint.breakpointsfull: Confidence Intervals for Breakpoints

DJIA: Dow Jones Industrial Average

durab: US Labor Productivity

efp: Empirical Fluctuation Processes

efpFunctional: Functionals for Fluctuation Processes

Fstats: F Statistics

gefp: Generalized Empirical M-Fluctuation Processes

GermanM1: German M1 Money Demand

Grossarl: Marriages, Births and Deaths in Grossarl

logLik.breakpoints: Log Likelihood and Information Criteria for Breakpoints

mefp: Monitoring of Empirical Fluctuation Processes

PhillipsCurve: UK Phillips Curve Equation Data

plot.efp: Plot Empirical Fluctuation Process

plot.Fstats: Plot F Statistics

plot.mefp: Plot Methods for mefp Objects

RealInt: US Ex-post Real Interest Rate

recresid: Recursive Residuals

root.matrix: Root of a Matrix

scPublications: Structural Change Publications

sctest: Structural Change Tests

sctest.default: Structural Change Tests in Parametric Models

sctest.efp: Generalized Fluctuation Tests

sctest.formula: Structural Change Tests in Linear Regression Models

sctest.Fstats: supF-, aveF- and expF-Test

solveCrossprod: Inversion of X'X

SP2001: S&P 500 Stock Prices

strucchange.internal: Internal strucchange objects

supLM: Generators for efpFunctionals along Continuous Variables

USIncExp: Income and Expenditures in the US

Functions

AIC.breakpointsfull Man page
BostonHomicide Man page
boundary Man page
boundary.efp Man page
boundary.Fstats Man page
boundary.mefp Man page
breakdates Man page
breakdates.breakpoints Man page
breakdates.confint.breakpoints Man page
breakfactor Man page
breakpoints Man page
breakpoints.breakpointsfull Man page
breakpoints.formula Man page
breakpoints.Fstats Man page
catL2BB Man page
coef.breakpointsfull Man page
confint.breakpointsfull Man page
df.residual.breakpointsfull Man page
DJIA Man page
durab Man page
efp Man page
efpFunctional Man page
fitted.breakpointsfull Man page
Fstats Man page
gefp Man page
GermanM1 Man page
Grossarl Man page
historyM1 Man page
lines.breakpoints Man page
lines.confint.breakpoints Man page
lines.efp Man page
lines.Fstats Man page
lines.mefp Man page
logLik.breakpoints Man page
logLik.breakpointsfull Man page
maxBB Man page
maxBBI Man page
maxBM Man page
maxBMI Man page
maxL2BB Man page
maxMOSUM Man page
meanL2BB Man page
mefp Man page
mefp.efp Man page
mefp.formula Man page
monitor Man page
monitorM1 Man page
monitorMECritval Man page
monitorMECritvalData Man page
monitorMECritvalTable Man page
monitorRECritval Man page
monitorRECritvalData Man page
monitorRECritvalTable Man page
ordL2BB Man page
ordwmax Man page
pargmaxV Man page
PhillipsCurve Man page
plot.breakpointsfull Man page
plot.efp Man page
plot.Fstats Man page
plot.gefp Man page
plot.mefp Man page
plot.summary.breakpointsfull Man page
print.breakpoints Man page
print.confint.breakpoints Man page
print.efp Man page
print.Fstats Man page
print.gefp Man page
print.mefp Man page
print.summary.breakpointsfull Man page
pvalue.efp Man page
pvalue.Fstats Man page
rangeBB Man page
rangeBBI Man page
rangeBM Man page
rangeBMI Man page
RealInt Man page
recresid Man page
recresid.default Man page
recresid.formula Man page
recresid.lm Man page
residuals.breakpointsfull Man page
root.matrix Man page
sc.beta.ave Man page
sc.beta.exp Man page
sc.beta.sup Man page
sc.maxL2 Man page
sc.me Man page
sc.meanL2 Man page
scPublications Man page
sctest Man page
sctest.default Man page
sctest.efp Man page
sctest.formula Man page
sctest.Fstats Man page
sctest.gefp Man page
simulateBMDist Man page
solveCrossprod Man page
SP2001 Man page
summary.breakpoints Man page
summary.breakpointsfull Man page
supLM Man page
time.gefp Man page
USIncExp Man page
vcov.breakpointsfull Man page

Files

inst
inst/CITATION
inst/doc
inst/doc/strucchange-intro.pdf
inst/doc/strucchange-intro.Rnw
inst/doc/strucchange-intro.R
tests
tests/Examples
tests/Examples/strucchange-Ex.Rout.save
tests/strucchange-tests.R
tests/strucchange-tests.Rout.save
NAMESPACE
demo
demo/tktesting.R demo/tkmonitoring.R
demo/00Index
NEWS
data
data/GermanM1.rda
data/SP2001.rda
data/durab.rda
data/PhillipsCurve.rda
data/RealInt.rda
data/scPublications.rda
data/USIncExp.rda
data/BostonHomicide.rda
data/DJIA.rda
data/Grossarl.rda
R
R/critvals.R R/simul-monitoring.R R/Fstats.R R/recresid.R R/breakpoints.R R/gefp.R R/monitoring.R R/critvals-monitoring.R R/pvalue.Fstats.R R/zzz.R R/matrix.R R/efp.R
vignettes
vignettes/strucchange-intro.Rnw
vignettes/strucchange-intro.Rout.save
vignettes/strucchange.bib
MD5
build
build/vignette.rds
DESCRIPTION
man
man/plot.Fstats.Rd man/BostonHomicide.Rd man/Fstats.Rd man/root.matrix.Rd man/USIncExp.Rd man/scPublications.Rd man/efpFunctional.Rd man/sctest.formula.Rd man/catL2BB.Rd man/recresid.Rd man/boundary.mefp.Rd man/durab.Rd man/breakfactor.Rd man/mefp.Rd man/supLM.Rd man/breakpoints.Rd man/sctest.default.Rd man/logLik.breakpoints.Rd man/sctest.Rd man/plot.mefp.Rd man/efp.Rd man/breakdates.Rd man/Grossarl.Rd man/boundary.efp.Rd man/solveCrossprod.Rd man/boundary.Fstats.Rd man/plot.efp.Rd man/SP2001.Rd man/DJIA.Rd man/GermanM1.Rd man/PhillipsCurve.Rd man/sctest.Fstats.Rd man/sctest.efp.Rd man/boundary.Rd man/gefp.Rd man/RealInt.Rd man/confint.breakpointsfull.Rd man/strucchange.internal.Rd

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