The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.

memochange: Testing for Structural Breaks under Long Memory and Testing for Changes in Persistence

Test procedures and break point estimators for persistent processes that exhibit structural breaks in mean or in persistence. On the one hand the package contains the most popular approaches for testing whether a time series exhibits a break in persistence from I(0) to I(1) or vice versa, such as those of Busetti and Taylor (2004) and Leybourne, Kim, and Taylor (2007). The approach by Martins and Rodrigues (2014), which allows to detect changes from I(d1) to I(d2) with d1 and d2 being non-integers, is included as well. In case the tests reject the null of constant persistence, various breakpoint estimators are available to detect the point of the break as well as the order of integration in the two regimes. On the other hand the package contains the most popular approaches to test for a change-in-mean of a long-memory time series, which were recently reviewed by Wenger, Leschinski, and Sibbertsen (2018). These include memory robust versions of the CUSUM, sup-Wald, and Wilcoxon type tests. The tests either utilize consistent estimates of the long-run variance or a self normalization approach in their test statistics. Betken (2016) <doi:10.1111/jtsa.12187> Busetti and Taylor (2004) <doi:10.1016/j.jeconom.2003.10.028> Dehling, Rooch and Taqqu (2012) <doi:10.1111/j.1467-9469.2012.00799.x> Harvey, Leybourne and Taylor (2006) <doi:10.1016/j.jeconom.2005.07.002> Horvath and Kokoszka (1997) <doi:10.1016/S0378-3758(96)00208-X> Hualde and Iacone (2017) <doi:10.1016/j.econlet.2016.10.014> Iacone, Leybourne and Taylor (2014) <doi:10.1111/jtsa.12049> Leybourne, Kim, Smith, and Newbold (2003) <doi:10.1111/1368-423X.t01-1-00110> Leybourne and Taylor (2004) <doi:10.1016/j.econlet.2003.12.015> Leybourne, Kim, and Taylor (2007): <doi:10.1111/j.1467-9892.2006.00517.x> Martins and Rodrigues (2014) <doi:10.1016/j.csda.2012.07.021> Shao (2011) <doi:10.1111/j.1467-9892.2010.00717.x> Sibbertsen and Kruse (2009) <doi:10.1111/j.1467-9892.2009.00611.x> Wang (2008) <doi:10.1080/00949650701216604> Wenger, Leschinski and Sibbertsen (2018) <doi:10.1016/j.econlet.2017.12.007>.

Version: 1.1.1
Depends: R (≥ 3.4.0)
Imports: urca (≥ 1.3.0), forecast (≥ 8.6), fracdiff (≥ 1.4.2), LongMemoryTS (≥ 0.1.0), sandwich (≥ 2.5.1), strucchange (≥ 1.5.1), longmemo (≥ 1.1.1), stats (≥ 3.4.1)
Suggests: testthat, knitr, rmarkdown, xts, zoo, data.table, utils, graphics
Published: 2020-07-26
DOI: 10.32614/CRAN.package.memochange
Author: Janis Becker [aut], Kai Wenger [aut, cre]
Maintainer: Kai Wenger <kai.wenger at gmx.de>
License: GPL-2
NeedsCompilation: no
Citation: memochange citation info
Materials: README
CRAN checks: memochange results

Documentation:

Reference manual: memochange.pdf
Vignettes: memochange-Tutorial: Change in Mean
memochange-Tutorial: Break in Persistence

Downloads:

Package source: memochange_1.1.1.tar.gz
Windows binaries: r-devel: memochange_1.1.1.zip, r-release: memochange_1.1.1.zip, r-oldrel: memochange_1.1.1.zip
macOS binaries: r-release (arm64): memochange_1.1.1.tgz, r-oldrel (arm64): memochange_1.1.1.tgz, r-release (x86_64): memochange_1.1.1.tgz, r-oldrel (x86_64): memochange_1.1.1.tgz
Old sources: memochange archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=memochange to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.