May 26, 2018

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.

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