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