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.


News

Changes in Version 1.5-1

o ordL2BB() now uses a direct simulation method based on mvtnorm::rmvnorm() which is much faster, making the computation of p values and critical values for the ordinal maxLM statistic much faster and feasible "on the fly".

o Reduced number of significant digits in breakpoints summary to getOption("digits") - 3.

o Reference output updated for recent versions of R.

Changes in Version 1.5-0

o Added new efpFunctional generators for conducting various types of structural change tests based on empirical fluctuation processes of class "gefp". In particular a (maximum) MOSUM functional was added as well as several functionals suitable for aggregation along categorical variables. The documentation for previously available functionals such as supLM() was also enhanced.

o The new functionals mentioned above for assessing parameter instability along (ordered) categorical variables are catL2BB (unordered), ordL2BB and ordwmax (ordered). These are discussed in more detail in Merkle, Fan, and Zeileis (2013, Psychometrika).

o Added a new default method for sctest(). This essentially just calls gefp(object, fit = NULL) and then (optionally) calls plot() and sctest() using the specified functional. However, several convenience options have been added, e.g., using the maximum likelihood information (rather than the outer product of gradients) for the covariance matrix or specifying the functional via a character string.

o Documentation of the sctest() generic and its methods have been enhanced. Methods for "formula", "efp", and "Fstats" are suitable for assessing structural changes in linear regression models while the "default" and "gefp" methods (see above) are suitable for general parametric models.

o Improved plot() method for gefp/efpFunctional to allow for more flexibility in boundary display. Rather than only boundary = TRUE) or FALSE one can now specify a list of graphical parameters, e.g., boundary = list(col = "slategray", lty = 2).

o Updated Depends/Imports in DESCRIPTION/NAMESPACE with new R CMD check requirements.

Changes in Version 1.4-7

o plotProcess() function in "efpFunctional" objects now takes a boundary = TRUE argument by default which can be set to FALSE to suppress plotting of the boundary function.

o Added a check (and a more intelligible warning) in the "formula" method of breakpoints() whether the 'breaks' argument supplied by the user is too large.

Changes in Version 1.4-6

o Default recresid() can now also deal with regressors that do not vary across (small) subsamples.

Changes in Version 1.4-5

o Further improvements in new recresid() default method. Now also works correctly if some coefficients are not identified on the initial subsamples in the recursion.

o Resaved datasets to reduce storage requirements.

o Fixed bug in breakpoints() for time series that contain NAs.

Changes in Version 1.4-4

o Default recresid() method now tries to choose adaptively between using the faster updating formula and the slower full QR decomposition to yield numerically more stable results. In previous versions of the function the QR decomposition was used only in the first iteration.

o Improvement in breakdates() computations.

Changes in Version 1.4-3

o Speed-up in breakpoints() for the intercept-only case, i.e., breakpoints(y ~ 1).

Changes in Version 1.4-2

o Improved time index computations in gefp().

o Added replication notes in ?durab.

Changes in Version 1.4-1

o efp(), Fstats(), and breakpoints() are now more cautios about using time series properties from the data and try to check whether any NAs were removed. In general, the functions will yield best results if all NA processing is done before calling them.

o Better handling of time series properties for the boundaries in the examples of SP2001.

Changes in Version 1.4-0

o added optional high performance computing support by means of the "foreach" package for the breakpoints() formula method. This can be leveraged to alleviate the computational burden in the dynamic programming approach. Simply register a parallel backend (e.g., by means of "doMC" or "doSNOW") and call breakpoints() with additional argument hpc = "foreach".

Changes in Version 1.3-7

o added optional start end end arguments to recresid().

Changes in Version 1.3-6

o enhanced documentation for new Rd parser.

Changes in Version 1.3-5

o added some further references to the vignette, and provide the associated .bib file in ~/inst/doc/.

o removed \itemize in .Rd files for new R-devel

Changes in Version 1.3-4

o fixed CITATION encoding

o removed Z.sty dependency in vignette

Changes in Version 1.3-3

o enhanced references in the vignette, CITATION and man pages

o fixed some outdated information in the vignette

Changes in Version 1.3-2

o added new data set with bibliographic information about structural change publications

Changes in Version 1.3-1

o renamed SP500 to SP2001 to avoid conflicts with MASS

Changes in Version 1.3-0

o added NAMESPACE

o improved dependency declaration in DESCRIPTION

Reference manual

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install.packages("strucchange")

1.5-1 by Achim Zeileis, 4 years ago


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


Authors: Achim Zeileis [aut, cre] , Friedrich Leisch [aut] , Kurt Hornik [aut] , Christian Kleiber [aut] , Bruce Hansen [ctb] , Edgar C. Merkle [ctb]


Documentation:   PDF Manual  


Task views: Econometrics, Analysis of Ecological and Environmental Data, Empirical Finance, Time Series Analysis


GPL-2 | GPL-3 license


Imports graphics, stats

Depends on zoo, sandwich

Suggests stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries


Imported by TSS.RESTREND, bfast, demography, nardl, phenopix, rmweather, svars, vcrpart.

Depended on by fxregime, mobForest, party, vars.

Suggested by AER, bcp, betareg, dynlm, ggfortify, glogis, lmtest, meboot, model4you, partykit, psychotree, sandwich, zoo.


See at CRAN