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r-cran-strucchange

GNU R package for structural change regression estimation

Description

This package functions for testing, dating and monitoring of structural change in linear regression relationships. The strucchange package 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.

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Homepage

https://cran.r-project.org/package=strucchange


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628 other people were interested in this package here. The newest known version of this software is 1.5-1-3 (Information last updated about 14 hours ago.)