Testing, monitoring and dating structural changes in (linear) regression models. 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 fluctuation processes. 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.

Maintainer: Achim Zeileis <Achim.Zeileis at R-project.org>

Author(s): Achim Zeileis*, Friedrich Leisch*, Kurt Hornik*, Christian Kleiber*, Bruce Hansen*, Edgar C. Merkle*

Install package and any missing dependencies by running this line in your R console:

install.packages("strucchange")

Depends R (>= 2.10.0), zoo, sandwich
Imports graphics, stats
Suggests stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries
Enhances
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depends
fxregime, party, vars
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imports
bfast, demography, phenopix, TSS.RESTREND, vcrpart
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suggests
AER, bcp, betareg, dynlm, ggfortify, glogis, lmtest, meboot, partykit, psychotree, sandwich, zoo
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Package strucchange
Materials
URL
Task Views Econometrics , Environmetrics , Finance , TimeSeries
Version 1.5-1
Published 2015-06-06
License GPL-2 | GPL-3
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks strucchange check results
Package source strucchange_1.5-1.tar.gz