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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1.5-3-1.0.2 by Dainius Masiliunas, 5 days 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  

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

See at CRAN