r-strucchange
Testing, Monitoring, and Dating Structural Changes
Testing, Monitoring, and Dating Structural Changes
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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.
Summary
Testing, Monitoring, and Dating Structural Changes
Last Updated
Mar 6, 2019 at 17:09
License
GPL-2 GPL-3
Total Downloads
70