Package: strucchangeRcpp 1.5-4-1.0.0
strucchangeRcpp: Testing, Monitoring, and Dating Structural Changes: C++ Version
A fast implementation with additional experimental features for testing, monitoring and dating structural changes in (linear) regression models. 'strucchangeRcpp' 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. cumulative/moving sum, recursive/moving estimates) and F statistics, respectively. These methods are described in Zeileis et al. (2002) <doi:10.18637/jss.v007.i02>. Finally, the breakpoints in regression models with structural changes can be estimated together with confidence intervals, and their magnitude as well as the model fit can be evaluated using a variety of statistical measures.
Authors:
strucchangeRcpp_1.5-4-1.0.0.tar.gz
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strucchangeRcpp.pdf |strucchangeRcpp.html✨
strucchangeRcpp/json (API)
NEWS
# Install 'strucchangeRcpp' in R: |
install.packages('strucchangeRcpp', repos = c('https://bfast2.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/bfast2/strucchangercpp/issues
- BostonHomicide - Youth Homicides in Boston
- DJIA - Dow Jones Industrial Average
- GermanM1 - German M1 Money Demand
- Grossarl - Marriages, Births and Deaths in Grossarl
- PhillipsCurve - UK Phillips Curve Equation Data
- RealInt - US Ex-post Real Interest Rate
- SP2001 - S&P 500 Stock Prices
- USIncExp - Income and Expenditures in the US
- durab - US Labor Productivity
- historyM1 - German M1 Money Demand
- monitorM1 - German M1 Money Demand
- scPublications - Structural Change Publications
Last updated 1 months agofrom:ab7aa3ccd8. Checks:OK: 9. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 16 2024 |
R-4.5-win-x86_64 | OK | Nov 16 2024 |
R-4.5-linux-x86_64 | OK | Nov 16 2024 |
R-4.4-win-x86_64 | OK | Nov 16 2024 |
R-4.4-mac-x86_64 | OK | Nov 16 2024 |
R-4.4-mac-aarch64 | OK | Nov 16 2024 |
R-4.3-win-x86_64 | OK | Nov 16 2024 |
R-4.3-mac-x86_64 | OK | Nov 16 2024 |
R-4.3-mac-aarch64 | OK | Nov 16 2024 |
Exports:AIC.breakpointsfullboundaryboundary.efpboundary.Fstatsboundary.mefpbreakdatesbreakdates.breakpointsbreakdates.confint.breakpointsbreakfactorbreakpointsbreakpoints.breakpointsfullbreakpoints.formulabreakpoints.Fstatsbreakpoints.matrixcatL2BBcoef.breakpointsfullconfint.breakpointsfulldf.residual.breakpointsfullefpefp.formulaefp.matrixefpFunctionalfitted.breakpointsfullFstatsgefplines.breakpointslines.confint.breakpointslines.efplines.Fstatslines.mefplogLik.breakpointslogLik.breakpointsfullLWZLWZ.breakpointsLWZ.breakpointsfullmagnitudemagnitude.breakpointsfullmaxBBmaxBBImaxBMmaxBMImaxL2BBmaxMOSUMmeanL2BBmefpmefp.efpmefp.formulamefp.matrixmonitormonitor.matrixmonitorMECritvalmonitorMECritvalDatamonitorMECritvalTablemonitorRECritvalmonitorRECritvalDatamonitorRECritvalTableordL2BBordwmaxpargmaxVplot.breakpointsfullplot.efpplot.Fstatsplot.gefpplot.mefpplot.summary.breakpointsfullprint.breakpointsprint.confint.breakpointsprint.efpprint.Fstatsprint.gefpprint.mefpprint.summary.breakpointsfullpvalue.efppvalue.FstatsrangeBBrangeBBIrangeBMrangeBMIrecresidrecresid.defaultrecresid.formularecresid.lmresiduals.breakpointsfullroot.matrixroot.matrix.crossprodsc.beta.avesc.beta.expsc.beta.supsc.maxL2sc.mesc.meanL2sctestsctest.defaultsctest.efpsctest.formulasctest.Fstatssctest.gefpsimulateBMDistsolveCrossprodsummary.breakpointssummary.breakpointsfullsupLMtime.gefpvcov.breakpointsfull
Dependencies:latticeRcppRcppArmadillosandwichzoo
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Youth Homicides in Boston | BostonHomicide |
Boundary Function for Structural Change Tests | boundary |
Boundary for Empirical Fluctuation Processes | boundary.efp |
Boundary for F Statistics | boundary.Fstats |
Boundary Function for Monitoring of Structural Changes | boundary.mefp |
Breakdates Corresponding to Breakpoints | breakdates breakdates.breakpoints breakdates.confint.breakpoints |
Factor Coding of Segmentations | breakfactor |
Dating Breaks | breakpoints breakpoints.breakpointsfull breakpoints.formula breakpoints.Fstats breakpoints.matrix coef.breakpointsfull df.residual.breakpointsfull fitted.breakpointsfull lines.breakpoints plot.breakpointsfull plot.summary.breakpointsfull print.breakpoints print.summary.breakpointsfull residuals.breakpointsfull summary.breakpoints summary.breakpointsfull vcov.breakpointsfull |
Generators for efpFunctionals along Categorical Variables | catL2BB ordL2BB ordwmax |
Confidence Intervals for Breakpoints | confint.breakpointsfull lines.confint.breakpoints print.confint.breakpoints |
Dow Jones Industrial Average | DJIA |
US Labor Productivity | durab |
Empirical Fluctuation Processes | efp efp.formula efp.matrix print.efp |
Functionals for Fluctuation Processes | efpFunctional maxBB maxBBI maxBM maxBMI maxL2BB meanL2BB rangeBB rangeBBI rangeBM rangeBMI simulateBMDist |
F Statistics | Fstats print.Fstats |
Generalized Empirical M-Fluctuation Processes | gefp plot.gefp print.gefp sctest.gefp time.gefp |
German M1 Money Demand | GermanM1 historyM1 monitorM1 |
Marriages, Births and Deaths in Grossarl | Grossarl |
Log Likelihood and Information Criteria for Breakpoints | AIC.breakpointsfull logLik.breakpoints logLik.breakpointsfull LWZ LWZ.breakpoints LWZ.breakpointsfull |
Magnitudes of Breakpoints | magnitude magnitude.breakpointsfull |
Monitoring of Empirical Fluctuation Processes | mefp mefp.efp mefp.formula mefp.matrix monitor monitor.matrix print.mefp |
UK Phillips Curve Equation Data | PhillipsCurve |
Plot Empirical Fluctuation Process | lines.efp plot.efp |
Plot F Statistics | lines.Fstats plot.Fstats |
Plot Methods for mefp Objects | lines.mefp plot.mefp |
US Ex-post Real Interest Rate | RealInt |
Recursive Residuals | recresid recresid.default recresid.formula recresid.lm |
Root of a Matrix | root.matrix |
Root of X^TX | root.matrix.crossprod |
Structural Change Publications | scPublications |
Structural Change Tests | sctest |
Structural Change Tests in Parametric Models | sctest.default |
Generalized Fluctuation Tests | sctest.efp |
Structural Change Tests in Linear Regression Models | sctest.formula |
supF-, aveF- and expF-Test | sctest.Fstats |
Inversion of X'X | solveCrossprod |
S&P 500 Stock Prices | SP2001 |
Generators for efpFunctionals along Continuous Variables | maxMOSUM supLM |
Income and Expenditures in the US | USIncExp |