strucchange
R package strucchange: Testing, Monitoring, and Dating Structural Changes. Testing, monitoring and dating structural changes in (linear) regression models. strucchange 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., CUSUM, MOSUM, recursive/moving estimates) and F statistics, respectively. It is possible to monitor incoming data online using fluctuation processes. Finally, the breakpoints in regression models with structural changes can be estimated together with confidence intervals. Emphasis is always given to methods for visualizing the data.
Keywords for this software
References in zbMATH (referenced in 22 articles , 1 standard article )
Showing results 1 to 20 of 22.
Sorted by year (- Fong, Youyi; Di, Chongzhi; Huang, Ying; Gilbert, Peter B.: Model-robust inference for continuous threshold regression models (2017)
- Carvalho, Arthur; Dimitrov, Stanko; Larson, Kate: How many crowdsourced workers should a requester hire? (2016) ioport
- Jin, Baisuo; Wu, Yuehua; Shi, Xiaoping: Consistent two-stage multiple change-point detection in linear models (2016)
- Kelly, Morgan; Gráda, Cormac Ó.: Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age? (2014)
- Merkle, Edgar C.; Fan, Jinyan; Zeileis, Achim: Testing for measurement invariance with respect to an ordinal variable (2014)
- Young, Derek S.: Mixtures of regressions with changepoints (2014)
- Kleiber, Christian; Zeileis, Achim: Reproducible econometric simulations (2013)
- Lee, Yi-Hsuan; von Davier, Alina A.: Monitoring scale scores over time via quality control charts, model-based approaches, and time series techniques (2013)
- Merkle, Edgar C.; Zeileis, Achim: Tests of measurement invariance without subgroups: a generalization of classical methods (2013)
- Nicholas A. James, David S. Matteson: ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data (2013) arXiv
- Zeileis, Achim; Hothorn, Torsten: A toolbox of permutation tests for structural change (2013)
- Gombay, Edit: Change detection in linear regression with time series errors (2010)
- Maindonald, John; Braun, W. John: Data analysis and graphics using R -- an example-based approach (2010)
- Zeileis, Achim; Shah, Ajay; Patnaik, Ila: Testing, monitoring, and dating structural changes in exchange rate regimes (2010)
- Becker, Otwin; Leitner, Johannes; Leopold-Wildburger, Ulrike: Expectation formation and regime switches (2009)
- Chochola, Ondřej: Sequential monitoring for change in scale (2008)
- Pfaff, Bernhard: Analysis of integrated and cointegrated time series with R. (2006)
- Vexler, A.: Guaranteed testing for epidemic changes of a linear regression model (2006)
- Zeileis, Achim: Implementing a class of structural change tests: An econometric computing approach (2006)
- Zeileis, Achim: A unified approach to structural change tests based on ML scores, $F$ statistics, and OLS residuals (2005)