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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 |
DOI: | 10.32614/CRAN.package.strucchangeRcpp |
Author: | Dainius Masiliunas
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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 |
Reference manual: | strucchangeRcpp.pdf |
Vignettes: |
strucchangeRcpp: An R Package for Testing for Structural Change in Linear Regression Models |
Package source: | strucchangeRcpp_1.5-3-1.0.4.tar.gz |
Windows binaries: | r-devel: strucchangeRcpp_1.5-3-1.0.4.zip, r-release: strucchangeRcpp_1.5-3-1.0.4.zip, r-oldrel: strucchangeRcpp_1.5-3-1.0.4.zip |
macOS binaries: | r-release (arm64): strucchangeRcpp_1.5-3-1.0.4.tgz, r-oldrel (arm64): strucchangeRcpp_1.5-3-1.0.4.tgz, r-release (x86_64): strucchangeRcpp_1.5-3-1.0.4.tgz, r-oldrel (x86_64): strucchangeRcpp_1.5-3-1.0.4.tgz |
Old sources: | strucchangeRcpp archive |
Reverse depends: | bfast |
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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.