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.

strucchange

This repository is a fork of the R package strucchange [1]. A few modifications will try to improve computationally intensive functions such as recresid.default.

References

[1] Zeileis, A., Leisch, F., Hornik, K., & Kleiber, C. (2002). strucchange: An R Package for Testing for Structural Change in Linear Regression Models. Journal of Statistical Software, 7(2), 1 - 38. doi:http://dx.doi.org/10.18637/jss.v007.i02