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: | 1.5-4-1.0.1 |
| 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: | 2025-09-26 |
| DOI: | 10.32614/CRAN.package.strucchangeRcpp |
| Author: | 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] |
| Maintainer: | Dainius Masiliunas <pastas4 at gmail.com> |
| BugReports: | https://github.com/bfast2/strucchangeRcpp/issues |
| License: | GPL-2 |GPL-3 |
| URL: | https://github.com/bfast2/strucchangeRcpp/ |
| NeedsCompilation: | yes |
| Citation: | strucchangeRcpp citation info |
| Materials: | README,NEWS |
| In views: | TimeSeries |
| CRAN checks: | strucchangeRcpp results |