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.
Version: | 1.5-4 |
Depends: | R (≥ 2.10.0), zoo, sandwich |
Imports: | graphics, stats, utils |
Suggests: | stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries |
Published: | 2024-09-02 |
DOI: | 10.32614/CRAN.package.strucchange |
Author: | Achim Zeileis |
Maintainer: | Achim Zeileis <Achim.Zeileis at R-project.org> |
License: | GPL-2 | GPL-3 |
NeedsCompilation: | yes |
Citation: | strucchange citation info |
Materials: | NEWS |
In views: | Econometrics, Environmetrics, Finance, TimeSeries |
CRAN checks: | strucchange results |
Reference manual: | strucchange.pdf |
Vignettes: |
strucchange: An R Package for Testing for Structural Change in Linear Regression Models (source, R code) |
Package source: | strucchange_1.5-4.tar.gz |
Windows binaries: | r-devel: strucchange_1.5-4.zip, r-release: strucchange_1.5-4.zip, r-oldrel: strucchange_1.5-4.zip |
macOS binaries: | r-devel (arm64): strucchange_1.5-4.tgz, r-release (arm64): strucchange_1.5-4.tgz, r-oldrel (arm64): strucchange_1.5-4.tgz, r-devel (x86_64): strucchange_1.5-4.tgz, r-release (x86_64): strucchange_1.5-4.tgz, r-oldrel (x86_64): strucchange_1.5-4.tgz |
Old sources: | strucchange archive |
Reverse depends: | fxregime, party, vars |
Reverse imports: | AQEval, autostsm, CytoGLMM, demography, dLagM, ftsa, GVARX, harbinger, memochange, nardl, phenopix, promotionImpact, rmweather, scDIFtest, semtree, SIRthresholded, sovereign, StructuralDecompose, svars, tall, tilingArray, TSS.RESTREND, VARshrink, vcrpart |
Reverse suggests: | AER, ARDL, betareg, dynlm, facmodTS, ggfortify, glogis, lmtest, meboot, model4you, mstDIF, partykit, psychotree, sandwich, trend, zoo |
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