Package strucchange
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
Fstats
F Statistics
Last ouput from Fstats(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/Fstats/example.log
GermanM1
German M1 Money Demand
Last ouput from GermanM1(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/GermanM1/example.log
Grossarl
Marriages and Births in Grossarl
Last ouput from Grossarl(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/Grossarl/example.log
PhillipsCurve
UK Phillips Curve Equation Data
Last ouput from PhillipsCurve(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/PhillipsCurve/example.log
RealInt
US Ex-post Real Interest Rate
Last ouput from RealInt(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/RealInt/example.log
SP500
S&P 500 Stock Prices
Last ouput from SP500(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/SP500/example.log
USIncExp
Income and Expenditures in the US
Last ouput from USIncExp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/USIncExp/example.log
boundary.Fstats
Boundary for F Statistics
Last ouput from boundary.Fstats(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/boundary.Fstats/example.log
boundary.efp
Boundary for Empirical Fluctuation Processes
Last ouput from boundary.efp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/boundary.efp/example.log
boundary.mefp
Boundary Function for Monitoring of Structural Changes
Last ouput from boundary.mefp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/boundary.mefp/example.log
breakdates
Breakdates Corresponding to Breakpoints
Last ouput from breakdates(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/breakdates/example.log
breakfactor
Factor Coding of Segmentations
Last ouput from breakfactor(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/breakfactor/example.log
breakpoints
Dating Breaks Confidence Intervals for Breakpoints
Last ouput from breakpoints(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/breakpoints/example.log
efp
Empirical Fluctuation Processes
Last ouput from efp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/efp/example.log
efpFunctional
Functionals for Fluctuation Processes
Last ouput from efpFunctional(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/efpFunctional/example.log
gefp
Generalized Empirical M-Fluctuation Processes
Last ouput from gefp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/gefp/example.log
logLik.breakpoints
Log Likelihood and Information Criteria for Breakpoints
Last ouput from logLik.breakpoints(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/logLik.breakpoints/example.log
mefp
Monitoring of Empirical Fluctuation Processes
Last ouput from mefp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/mefp/example.log
plot.Fstats
Plot F Statistics
Last ouput from plot.Fstats(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/plot.Fstats/example.log
plot.efp
Plot Empirical Fluctuation Process
Last ouput from plot.efp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/plot.efp/example.log
plot.mefp
Plot Methods for mefp Objects
Last ouput from plot.mefp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/plot.mefp/example.log
recresid
Recursive Residuals
Last ouput from recresid(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/recresid/example.log
sctest.Fstats
supF-, aveF- and expF-Test
Last ouput from sctest.Fstats(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/sctest.Fstats/example.log
sctest.efp
Generalized Fluctuation Tests
Last ouput from sctest.efp(). For all plots see PDF file.
PDF output with all plots
Example code and log output is in the "Files" section, please see: strucchange/sctest.efp/example.log
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