There is a new package in the devel-section of 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.
It only works with the current development version of R (forthcoming
1.3.x).
Package: strucchange
Version: 0.9
Date: 2001-05-09
Title: Tests on Structural Change
Author: Achim Zeileis, Bruce Hansen, Kurt Hornik,
Christian Kleiber, Fritz Leisch, Andrea Peters
Maintainer: Achim Zeileis <zeileis@ci.tuwien.ac.at>
Description: Various tests on structural change in linear regression
models.
Depends: R (>= 1.3.0)
License: GPL
---------------------------
Achim Zeileis
Institut für Statistik
Technische Universität Wien
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