strucchange: Testing, Monitoring, and Dating Structural Changes

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.

Version:	1.5-4
Depends:	R (≥ 2.10.0), zoo, sandwich
Imports:	graphics, stats, utils
Suggests:	stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries
Published:	2024-09-02
DOI:	10.32614/CRAN.package.strucchange
Author:	Achim Zeileis [aut, cre], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce Hansen [ctb], Edgar C. Merkle [ctb], Nikolaus Umlauf [ctb]
Maintainer:	Achim Zeileis <Achim.Zeileis at R-project.org>
License:	GPL-2 | GPL-3
NeedsCompilation:	yes
Citation:	strucchange citation info
Materials:	NEWS
In views:	Econometrics, Environmetrics, Finance, TimeSeries
CRAN checks:	strucchange results

Documentation:

Reference manual:	strucchange.pdf
Vignettes:	strucchange: An R Package for Testing for Structural Change in Linear Regression Models (source, R code)

Downloads:

Package source:	strucchange_1.5-4.tar.gz
Windows binaries:	r-devel: strucchange_1.5-4.zip, r-release: strucchange_1.5-4.zip, r-oldrel: strucchange_1.5-4.zip
macOS binaries:	r-release (arm64): strucchange_1.5-4.tgz, r-oldrel (arm64): strucchange_1.5-4.tgz, r-release (x86_64): strucchange_1.5-4.tgz, r-oldrel (x86_64): strucchange_1.5-4.tgz
Old sources:	strucchange archive

Reverse dependencies:

Reverse depends:	fxregime, party, vars
Reverse imports:	AQEval, autostsm, CytoGLMM, demography, dLagM, ftsa, GVARX, harbinger, memochange, nardl, phenopix, promotionImpact, rmweather, scDIFtest, semtree, SIRthresholded, sovereign, StructuralDecompose, svars, tilingArray, TSS.RESTREND, VARshrink, vcrpart
Reverse suggests:	AER, ARDL, betareg, dynlm, facmodTS, ggfortify, glogis, lmtest, meboot, model4you, mstDIF, partykit, psychotree, sandwich, trend, zoo

Linking:

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