Package: strucchangeRcpp 1.5-4-1.0.0

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], Nikolaus Umlauf [ctb]

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NEWS

# Install 'strucchangeRcpp' in R:
install.packages('strucchangeRcpp', repos = c('https://bfast2.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

5.21 score 5 stars 2 packages 3 scripts 1.1k downloads 104 exports 5 dependencies

Last updated 1 months agofrom:ab7aa3ccd8. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 16 2024
R-4.5-win-x86_64OKNov 16 2024
R-4.5-linux-x86_64OKNov 16 2024
R-4.4-win-x86_64OKNov 16 2024
R-4.4-mac-x86_64OKNov 16 2024
R-4.4-mac-aarch64OKNov 16 2024
R-4.3-win-x86_64OKNov 16 2024
R-4.3-mac-x86_64OKNov 16 2024
R-4.3-mac-aarch64OKNov 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

strucchangeRcpp: An R Package for Testing for Structural Change in Linear Regression Models

Rendered fromstrucchange-intro.Rnwusingutils::Sweaveon Nov 16 2024.

Last update: 2021-03-18
Started: 2016-12-07

Readme and manuals

Help Manual

Help pageTopics
Youth Homicides in BostonBostonHomicide
Boundary Function for Structural Change Testsboundary
Boundary for Empirical Fluctuation Processesboundary.efp
Boundary for F Statisticsboundary.Fstats
Boundary Function for Monitoring of Structural Changesboundary.mefp
Breakdates Corresponding to Breakpointsbreakdates breakdates.breakpoints breakdates.confint.breakpoints
Factor Coding of Segmentationsbreakfactor
Dating Breaksbreakpoints 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 VariablescatL2BB ordL2BB ordwmax
Confidence Intervals for Breakpointsconfint.breakpointsfull lines.confint.breakpoints print.confint.breakpoints
Dow Jones Industrial AverageDJIA
US Labor Productivitydurab
Empirical Fluctuation Processesefp efp.formula efp.matrix print.efp
Functionals for Fluctuation ProcessesefpFunctional maxBB maxBBI maxBM maxBMI maxL2BB meanL2BB rangeBB rangeBBI rangeBM rangeBMI simulateBMDist
F StatisticsFstats print.Fstats
Generalized Empirical M-Fluctuation Processesgefp plot.gefp print.gefp sctest.gefp time.gefp
German M1 Money DemandGermanM1 historyM1 monitorM1
Marriages, Births and Deaths in GrossarlGrossarl
Log Likelihood and Information Criteria for BreakpointsAIC.breakpointsfull logLik.breakpoints logLik.breakpointsfull LWZ LWZ.breakpoints LWZ.breakpointsfull
Magnitudes of Breakpointsmagnitude magnitude.breakpointsfull
Monitoring of Empirical Fluctuation Processesmefp mefp.efp mefp.formula mefp.matrix monitor monitor.matrix print.mefp
UK Phillips Curve Equation DataPhillipsCurve
Plot Empirical Fluctuation Processlines.efp plot.efp
Plot F Statisticslines.Fstats plot.Fstats
Plot Methods for mefp Objectslines.mefp plot.mefp
US Ex-post Real Interest RateRealInt
Recursive Residualsrecresid recresid.default recresid.formula recresid.lm
Root of a Matrixroot.matrix
Root of X^TXroot.matrix.crossprod
Structural Change PublicationsscPublications
Structural Change Testssctest
Structural Change Tests in Parametric Modelssctest.default
Generalized Fluctuation Testssctest.efp
Structural Change Tests in Linear Regression Modelssctest.formula
supF-, aveF- and expF-Testsctest.Fstats
Inversion of X'XsolveCrossprod
S&P 500 Stock PricesSP2001
Generators for efpFunctionals along Continuous VariablesmaxMOSUM supLM
Income and Expenditures in the USUSIncExp