strucchange (1.5-1)

1 user

Testing, Monitoring, and Dating Structural Changes.

http://cran.r-project.org/web/packages/strucchange

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.

Maintainer: Achim Zeileis
Author(s): Achim Zeileis [aut, cre], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb], Edgar C. Merkle [ctb]

License: GPL-2 | GPL-3

Uses: sandwich, zoo, car, dynlm, e1071, lmtest, mvtnorm, tseries, foreach
Reverse depends: AER, bfast, fxregime, party, psychotree, RMAWGEN, vars
Reverse suggests: AER, bcp, betareg, demography, dynlm, ggfortify, glogis, lmtest, meboot, partykit, psychotree, sandwich, zoo

Released about 2 years ago.


12 previous versions

Ratings

Overall:

  3.0/5 (2 votes)

Documentation:

  3.0/5 (2 votes)

Log in to vote.

Reviews


Related packages: dynlm, tseries, zoo, forecast, FinTS, MSBVAR, nlme, tsDyn, tsfa, urca, vars, dyn, CADFtest, dse, xts, gets, AER, boot, car, Ecdat(20 best matches, based on common tags.)


Search for strucchange on google, google scholar, r-help, r-devel.

Visit strucchange on R Graphical Manual.