[R-pkgs] updated package strucchange 1.2-4
Achim.Zeileis at wu-wien.ac.at
Thu Aug 12 20:05:06 CEST 2004
the strucchange package for testing for structural change
has been updated: the current version is 1.2-4.
The most significant additions were two functions gefp()
gefp() implements a class of generalized M-fluctuation
tests for testing for parameter instability or structural
change in general parametric models including generalized
linear models (GLMs).
efpFunctional() provides infrastructure for inference based
on functionals applied to empirical fluctuation processes
such as automatic tabulation of critical values and a choice
of a suitable visualization method.
The theory behind both functions is described in Zeileis
& Hornik (2003), the implementation ideas are explained in
Zeileis (2004). Links to both papers are available from
my web page: http://www.ci.tuwien.ac.at/~zeileis/
Title: Testing for Structural Change
Author: Achim Zeileis, Friedrich Leisch, Bruce Hansen,
Kurt Hornik, Christian Kleiber, Andrea Peters
Maintainer: Achim Zeileis <Achim.Zeileis at wu-wien.ac.at>
Description: Testing, dating and monitoring of structural change in
linear regression relationships.
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
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.
Depends: sandwich, zoo, R (>= 1.5.0)
More information about the R-packages