strucchange: Testing, Monitoring, and Dating Structural Changes

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.

Version: 1.5-0
Depends: R (≥ 2.10.0), zoo, sandwich
Imports: graphics, stats
Suggests: stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries
Published: 2013-10-29
Author: Achim Zeileis [aut, cre], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb]
Maintainer: Achim Zeileis <Achim.Zeileis at R-project.org>
License: GPL-2
NeedsCompilation: no
Citation: strucchange citation info
Materials: NEWS
In views: Econometrics, Environmetrics, Finance
CRAN checks: strucchange results

Downloads:

Reference manual: strucchange.pdf
Vignettes: strucchange: An R Package for Testing for Structural Change in Linear Regression Models
Package source: strucchange_1.5-0.tar.gz
Windows binaries: r-devel: strucchange_1.5-0.zip, r-release: strucchange_1.5-0.zip, r-oldrel: strucchange_1.5-0.zip
OS X Snow Leopard binaries: r-release: strucchange_1.5-0.tgz, r-oldrel: strucchange_1.5-0.tgz
OS X Mavericks binaries: r-release: strucchange_1.5-0.tgz
Old sources: strucchange archive

Reverse dependencies:

Reverse depends: fxregime, party, vars
Reverse imports: bfast, demography
Reverse suggests: AER, bcp, betareg, dynlm, glogis, lmtest, meboot, partykit, psychotree, sandwich, zoo