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strucchange

Testing, Monitoring, and Dating Structural Changes

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.

Functions (38)

BostonHomicide

Youth Homicides in Boston

DJIA

Dow Jones Industrial Average

Fstats

F Statistics

GermanM1

German M1 Money Demand

Grossarl

Marriages, Births and Deaths in Grossarl

PhillipsCurve

UK Phillips Curve Equation Data

RealInt

US Ex-post Real Interest Rate

SP2001

S\&P 500 Stock Prices

USIncExp

Income and Expenditures in the US

boundary

Boundary Function for Structural Change Tests

boundary.Fstats

Boundary for F Statistics

boundary.efp

Boundary for Empirical Fluctuation Processes

boundary.mefp

Boundary Function for Monitoring of Structural Changes

breakdates

Breakdates Corresponding to Breakpoints

breakfactor

Factor Coding of Segmentations

breakpoints

Dating Breaks

catL2BB

Generators for efpFunctionals along Categorical Variables

confint.breakpointsfull

Confidence Intervals for Breakpoints

durab

US Labor Productivity

efp

Empirical Fluctuation Processes

efpFunctional

Functionals for Fluctuation Processes

gefp

Generalized Empirical M-Fluctuation Processes

logLik.breakpoints

Log Likelihood and Information Criteria for Breakpoints

mefp

Monitoring of Empirical Fluctuation Processes

plot.Fstats

Plot F Statistics

plot.efp

Plot Empirical Fluctuation Process

plot.mefp

Plot Methods for mefp Objects

recresid

Recursive Residuals

root.matrix

Root of a Matrix

scPublications

Structural Change Publications

sctest

Structural Change Tests

sctest.Fstats

supF-, aveF- and expF-Test

sctest.default

Structural Change Tests in Parametric Models

sctest.efp

Generalized Fluctuation Tests

sctest.formula

Structural Change Tests in Linear Regression Models

solveCrossprod

Inversion of X'X

strucchange.internal

Internal strucchange objects

supLM

Generators for efpFunctionals along Continuous Variables

strucchange

Testing, Monitoring, and Dating Structural Changes

v1.5-2

GPL-2 | GPL-3

Authors

Achim Zeileis [aut, cre] (<https://orcid.org/0000-0003-0918-3766>), Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb], Edgar C. Merkle [ctb]

Initial release

2019-10-12

strucchange

Functions (38)

strucchange

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