strucchange: Testing, Monitoring, and Dating Structural Changes
Version 1.5-1

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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("strucchange")

Popular man pages

breakfactor: Factor Coding of Segmentations
efp: Empirical Fluctuation Processes
plot.efp: Plot Empirical Fluctuation Process
scPublications: Structural Change Publications
sctest.efp: Generalized Fluctuation Tests
sctest.Fstats: supF-, aveF- and expF-Test
USIncExp: Income and Expenditures in the US
See all...

All man pages Function index File listing

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

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
strucchange documentation built on May 19, 2017, 5:58 p.m.

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