strucchangeRcpp: Testing, Monitoring, and Dating Structural Changes: C++ Version

A fast implementation with additional experimental features for testing, monitoring and dating structural changes in (linear) regression models. 'strucchangeRcpp' 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. cumulative/moving sum, recursive/moving estimates) and F statistics, respectively. These methods are described in Zeileis et al. (2002) <doi:10.18637/jss.v007.i02>. Finally, the breakpoints in regression models with structural changes can be estimated together with confidence intervals, and their magnitude as well as the model fit can be evaluated using a variety of statistical measures.

Package details

AuthorDainius Masiliunas [aut, cre] (<https://orcid.org/0000-0001-5654-1277>), Achim Zeileis [aut] (<https://orcid.org/0000-0003-0918-3766>), Marius Appel [aut], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Andrei Mirt [ctb] (<https://orcid.org/0000-0003-3654-2090>), Bruce Hansen [ctb], Edgar C. Merkle [ctb]
MaintainerDainius Masiliunas <pastas4@gmail.com>
LicenseGPL-2 | GPL-3
Version1.5-3-1.0.3
URL https://github.com/bfast2/strucchangeRcpp/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("strucchangeRcpp")

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strucchangeRcpp documentation built on May 26, 2021, 9:06 a.m.