Testing, Monitoring, and Dating Structural Changes: C++ Version

A fast implementation with additional experimental features for testing, monitoring and dating structural changes in (linear) regression models. 'strucchangeRcpp' 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. cumulative/moving sum, recursive/moving estimates) and F statistics, respectively. These methods are described in Zeileis et al. (2002) . Finally, the breakpoints in regression models with structural changes can be estimated together with confidence intervals, and their magnitude as well as the model fit can be evaluated using a variety of statistical measures.


Reference manual

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1.5-3-1.0.3 by Dainius Masiliunas, 4 months ago


Report a bug at https://github.com/bfast2/strucchangeRcpp/issues

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

Authors: Dainius Masiliunas [aut, cre] , Achim Zeileis [aut] , Marius Appel [aut] , Friedrich Leisch [aut] , Kurt Hornik [aut] , Christian Kleiber [aut] , Andrei Mirt [ctb] , Bruce Hansen [ctb] , Edgar C. Merkle [ctb]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-2 | GPL-3 license

Imports graphics, stats, Rcpp, utils

Depends on zoo, sandwich

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

Linking to Rcpp, RcppArmadillo

Depended on by bfast.

See at CRAN