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] (<>), Achim Zeileis [aut] (<>), Marius Appel [aut], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Andrei Mirt [ctb] (<>), Bruce Hansen [ctb], Edgar C. Merkle [ctb]
MaintainerDainius Masiliunas <>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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strucchangeRcpp documentation built on May 26, 2021, 9:06 a.m.