Change Point Analysis Tests

Implements several statistical tests for structural change, specifically the tests featured in Horváth, Rice and Miller (in press): CUSUM (with weighted/trimmed variants), Darling-Erdös, Hidalgo-Seo, Andrews, and the new Rényi-type test.


News

CPAT News

Version 0.1.0


  • Created Andrews.test(), a function that implements D. W. K. Andrews' test for end-of-sample instability, both for univariate and regression data
  • Created DE.test(), a function that implements the Darling-Erdös test for structural change
  • Created HS.test(), a function that implements the Hidalgo-Seo test for structural change
  • Created HR.test(), a function that implements the Horváth et. al. test for structural change
  • Created CUSUM.test(), a function that implements the CUSUM test for structural change
  • Created ff, a data set containing Fama-French five factor data
  • Created banks, a data set containing the returns of a portfolio of banking sector stocks, as compiled by K. French
  • Files and functions related to simulations done for the accompanying paper were removed

Version 0.0.0.9000


Setup

  • Package CPAT created.

Reference manual

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install.packages("CPAT")

0.1.0 by Curtis Miller, 4 months ago


Browse source code at https://github.com/cran/CPAT


Authors: Curtis Miller [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports stats, utils, grDevices, Rdpack, methods, Rcpp, purrr

Suggests cointReg, foreach, doRNG, doParallel, ggplot2, dplyr, tikzDevice, testthat

Linking to Rcpp, RcppArmadillo

System requirements: GNU make


See at CRAN