Introduction | The model | The data | Generalized fluctuation tests | F tests | Monitoring with the generalized fluctuation test | Conclusions | Implementation details for p values
Package: strucchangeRcpp 1.5-4-1.0.2-9999
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:
strucchangeRcpp_1.5-4-1.0.2-9999.tar.gz
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strucchangeRcpp_1.5-4-1.0.2-9999.tar.gz(r-4.7-arm64)strucchangeRcpp_1.5-4-1.0.2-9999.tar.gz(r-4.7-x86_64)strucchangeRcpp_1.5-4-1.0.2-9999.tar.gz(r-4.6-arm64)strucchangeRcpp_1.5-4-1.0.2-9999.tar.gz(r-4.6-x86_64)
strucchangeRcpp_1.5-4-1.0.2-9999.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
strucchangeRcpp/json (API)
| # 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
Datasets:
- BostonHomicide - Youth Homicides in Boston
- DJIA - Dow Jones Industrial Average
- durab - US Labor Productivity
- GermanM1 - German M1 Money Demand
- Grossarl - Marriages, Births and Deaths in Grossarl
- historyM1 - German M1 Money Demand
- monitorM1 - German M1 Money Demand
- PhillipsCurve - UK Phillips Curve Equation Data
- RealInt - US Ex-post Real Interest Rate
- scPublications - Structural Change Publications
- SP2001 - S&P 500 Stock Prices
- USIncExp - Income and Expenditures in the US
Last updated from:ce43aedbcb. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 214 | ||
| linux-devel-x86_64 | OK | 207 | ||
| source / vignettes | OK | 325 | ||
| linux-release-arm64 | OK | 224 | ||
| linux-release-x86_64 | OK | 216 | ||
| macos-release-arm64 | OK | 119 | ||
| macos-release-x86_64 | OK | 343 | ||
| macos-oldrel-arm64 | OK | 140 | ||
| macos-oldrel-x86_64 | OK | 275 | ||
| windows-devel | OK | 181 | ||
| windows-release | OK | 178 | ||
| windows-oldrel | OK | 186 | ||
| wasm-release | OK | 230 |
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 |
