strucchange.exlib File Reference


Detailed Description

Title:Testing for Structural Change Description:Testing, dating and monitoring of structural change in linear regression relationships. 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.

Author:Achim Zeileis, Friedrich Leisch, Bruce Hansen, Kurt Hornik, Christian Kleiber, Andrea Peters Maintainer:Achim Zeileis <Achim.Zeileis@R-project.org> Version:1.2-11 Built:R 2.1.1; ; 2005-09-09 04:41:16; unix Date:2005-09-07 Depends:R (>= 2.1.0), zoo, sandwich License:GPL Packaged:Thu Sep 8 13:23:25 2005; zeileis Suggests:lmtest, car, dynlm, e1071, tseries


Namespaces

namespace  strucchange


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