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strucchange (version 1.5-1)

Testing, Monitoring, and Dating Structural Changes

Description

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.

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Version

Install

install.packages('strucchange')

Monthly Downloads

36,156

Version

1.5-1

License

GPL-2 | GPL-3

Maintainer

Achim Zeileis

Last Published

June 6th, 2015

Functions in strucchange (1.5-1)

efp

Empirical Fluctuation Processes
plot.Fstats

Plot F Statistics
boundary.mefp

Boundary Function for Monitoring of Structural Changes
boundary

Boundary Function for Structural Change Tests
USIncExp

Income and Expenditures in the US
boundary.Fstats

Boundary for F Statistics
supLM

Generators for efpFunctionals along Continuous Variables
DJIA

Dow Jones Industrial Average
confint.breakpointsfull

Confidence Intervals for Breakpoints
sctest

Structural Change Tests
sctest.default

Structural Change Tests in Parametric Models
strucchange.internal

Internal strucchange objects
catL2BB

Generators for efpFunctionals along Categorical Variables
BostonHomicide

Youth Homicides in Boston
breakfactor

Factor Coding of Segmentations
root.matrix

Root of a Matrix
sctest.efp

Generalized Fluctuation Tests
plot.mefp

Plot Methods for mefp Objects
logLik.breakpoints

Log Likelihood and Information Criteria for Breakpoints
GermanM1

German M1 Money Demand
sctest.Fstats

supF-, aveF- and expF-Test
PhillipsCurve

UK Phillips Curve Equation Data
RealInt

US Ex-post Real Interest Rate
SP2001

S\&P 500 Stock Prices
plot.efp

Plot Empirical Fluctuation Process
Fstats

F Statistics
Grossarl

Marriages, Births and Deaths in Grossarl
breakpoints

Dating Breaks
recresid

Recursive Residuals
breakdates

Breakdates Corresponding to Breakpoints
scPublications

Structural Change Publications
efpFunctional

Functionals for Fluctuation Processes
boundary.efp

Boundary for Empirical Fluctuation Processes
sctest.formula

Structural Change Tests in Linear Regression Models
mefp

Monitoring of Empirical Fluctuation Processes
solveCrossprod

Inversion of X'X
gefp

Generalized Empirical M-Fluctuation Processes
durab

US Labor Productivity