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.


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install.packages("strucchangeRcpp")

1.5-3-1.0.3 by Dainius Masiliunas, 18 days ago


https://github.com/bfast2/strucchangeRcpp/


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