sysbreak: Structural Breaks in a System of Equations
Methods for detecting, estimating, and conducting inference
on multiple structural breaks in a linear system of equations, such as
multivariate linear regressions, seemingly unrelated regressions,
vector autoregressions, and network vector autoregressions. Breaks can
occur in the regression coefficients, the covariance matrix of the
errors, or both, and can be restricted to a subset of the
coefficients. The main function, sysbreak(), returns the number of
breaks detected and confidence intervals for the break dates and for
the regression coefficients. A separate function ordbreak() estimates
ordered breaks, in which a break in one subset of equations occurs
before a break in another. Specialized functions for vector
autoregressions varbreak() and network vector autoregressions
netbreak() are also provided. Reference: Qu, Z., and Perron, P.
(2007). 'Estimating and Testing Structural Changes in Multivariate
Regressions.' Econometrica, 75(2), 459-502.
| Version: |
1.1.0 |
| Depends: |
R (≥ 4.3.0) |
| Imports: |
graphics, grDevices, MASS, stats, utils |
| Suggests: |
knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: |
2026-10-31 |
| DOI: |
10.32614/CRAN.package.sysbreak (may not be active yet) |
| Author: |
Zhongjun Qu [aut, cre],
Cheolju Kim [aut],
Pierre Perron [aut] |
| Maintainer: |
Zhongjun Qu <qu at bu.edu> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| CRAN checks: |
sysbreak results |
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