strucchange: Testing, Monitoring, and Dating Structural Changes

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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.

Author
Achim Zeileis [aut, cre], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb], Edgar C. Merkle [ctb]
Date of publication
2015-06-06 13:03:15
Maintainer
Achim Zeileis <Achim.Zeileis@R-project.org>
License
GPL-2 | GPL-3
Version
1.5-1

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