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r-strucchange

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Testing, Monitoring, and Dating Structural Changes

Installation

To install this package, run one of the following:

Conda
$conda install odsp-test::r-strucchange

Usage Tracking

1.5_1
1 / 8 versions selected
Downloads (Last 6 months): 0

Description

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.

About

Summary

Testing, Monitoring, and Dating Structural Changes

Last Updated

Mar 6, 2019 at 17:09

License

GPL-2 GPL-3

Total Downloads

70