Package: strucchangeRcpp 1.5-3-1.0.4

Dainius Masiliunas

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:Dainius Masiliunas [aut, cre], Achim Zeileis [aut], Marius Appel [aut], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Andrei Mirt [ctb], Bruce Hansen [ctb], Edgar C. Merkle [ctb]

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Bug tracker:https://github.com/bfast2/strucchangercpp/issues

On CRAN:

106 exports 6 stars 1.67 score 5 dependencies 2 dependents 2 scripts 537 downloads

Last updated 3 years agofrom:adc7d3018b. Checks:OK: 1 NOTE: 8. Indexed: yes.

Exports:.coef0.Xinv0AIC.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