A fast implementation with additional experimental features for testing, monitoring and dating structural changes in (linear) regression models. 'strucchangeRcpp' 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. cumulative/moving sum, recursive/moving estimates) and F statistics, respectively. These methods are described in Zeileis et al. (2002) <doi:10.18637/jss.v007.i02>. Finally, the breakpoints in regression models with structural changes can be estimated together with confidence intervals, and their magnitude as well as the model fit can be evaluated using a variety of statistical measures.
Version: 1.5-4-1.0.0 Depends: R (≥ 2.10.0), zoo, sandwich Imports: graphics, stats, Rcpp (≥ 0.12.7), utils LinkingTo: Rcpp, RcppArmadillo Suggests: stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries, bfast Published: 2024-10-17 DOI: 10.32614/CRAN.package.strucchangeRcpp Author: Dainius Masiliunas [aut, cre], Achim Zeileis [aut], Marius Appel [aut], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Andrei Mirt [ctb], Bruce Hansen [ctb], Edgar C. Merkle [ctb], Nikolaus Umlauf [ctb] Maintainer: Dainius Masiliunas <pastas4 at gmail.com> BugReports: https://github.com/bfast2/strucchangeRcpp/issues License: GPL-2 | GPL-3 URL: https://github.com/bfast2/strucchangeRcpp/ NeedsCompilation: yes Citation: strucchangeRcpp citation info Materials: README NEWS In views: TimeSeries CRAN checks: strucchangeRcpp results Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=strucchangeRcpp to link to this page.
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