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 


Author  Dainius Masiliunas [aut, cre] (<https://orcid.org/0000000156541277>), Achim Zeileis [aut] (<https://orcid.org/0000000309183766>), Marius Appel [aut], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Andrei Mirt [ctb] (<https://orcid.org/0000000336542090>), Bruce Hansen [ctb], Edgar C. Merkle [ctb] 
Maintainer  Dainius Masiliunas <pastas4@gmail.com> 
License  GPL2  GPL3 
Version  1.531.0.4 
URL  https://github.com/bfast2/strucchangeRcpp/ 
Package repository  View on CRAN 
Installation 
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