There is a new package on CRAN called 'strucchange' providing functions
for testing on structural change in linear regression relationships.
It 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. Furthermore it is possible to monitor incoming data
online.
Package: strucchange
Version: 0.9-2
Date: 2001-06-28
Title: Tests on 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 on structural change in linear regression
relationships.
It 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. Furthermore it is possible to monitor
incoming data
online.
Depends: R (>= 1.3.0)
License: GPL
---------------------------
Achim Zeileis
Institut f?r Statistik
Technische Universit?t Wien
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