Dear R users,
the version 1.0-0 of the package `strucchange' for testing for
structural
change in linear regression relationships is now available on CRAN.
The most important new feature is functionality for dating breaks, i.e.,
estimating breakpoints in regression relationships. Thus, the package
now
contains methods for testing, dating and monitoring structural changes.
More precisely, the following features have been added:
o simultanous estimation of breakpoints by OLS and methods for
visualizing these and their confidence intervals
o tcltk-based demos for testing and monitoring structural
changes: demo(tktesting), demo(tkmonitoring)
o new datasets:
German M1 money demand,
U.S. labor productivity,
demographic data about marriages and illegitimate births
in Grossarl, Austria
o range versions of the OLS-based CUSUM and MOSUM test,
alternative boundaries for RE test.
o a function for computing the recursive residuals of a linear
model is now available.
The DESCRIPTION of the package is given below.
Best wishes,
Achim Zeileis
Package: strucchange
Version: 1.0-0
Date: 2002-10-28
Title: Testing for Structural Change
Author: Achim Zeileis, Friedrich Leisch, Bruce Hansen,
Kurt Hornik, Christian Kleiber, Andrea Peters
Maintainer: Achim Zeileis <zeileis at ci.tuwien.ac.at>
Description: Testing, dating and monitoring of structural change in
linear regression relationships.
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.
Depends: R (>= 1.4.0)
License: GPL
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