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.

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

Files in this package

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.