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.

Version: 1.5-3-1.0.3
Depends: R (≥ 2.10.0), zoo, sandwich
Imports: graphics, stats, Rcpp (≥ 0.12.7), utils
LinkingTo: Rcpp, RcppArmadillo
Suggests: stats4, car, dynlm, e1071, foreach, lmtest, mvtnorm, tseries, bfast
Published: 2021-05-26
Author: Dainius Masiliunas ORCID iD [aut, cre], Achim Zeileis ORCID iD [aut], Marius Appel [aut], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Andrei Mirt ORCID iD [ctb], Bruce Hansen [ctb], Edgar C. Merkle [ctb]
Maintainer: Dainius Masiliunas <pastas4 at>
License: GPL-2 | GPL-3
NeedsCompilation: yes
Citation: strucchangeRcpp citation info
Materials: README NEWS
In views: TimeSeries
CRAN checks: strucchangeRcpp results


Reference manual: strucchangeRcpp.pdf
Vignettes: strucchangeRcpp: An R Package for Testing for Structural Change in Linear Regression Models
Package source: strucchangeRcpp_1.5-3-1.0.3.tar.gz
Windows binaries: r-devel:, r-devel-UCRT:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): strucchangeRcpp_1.5-3-1.0.3.tgz, r-release (x86_64): strucchangeRcpp_1.5-3-1.0.3.tgz, r-oldrel: strucchangeRcpp_1.5-3-1.0.3.tgz
Old sources: strucchangeRcpp archive

Reverse dependencies:

Reverse depends: bfast


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