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: |
1.5-3-1.0.4 |
| 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: |
2021-11-26 |
| 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] |
| 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 |