Package: strucchange 1.6-0.99

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.

Authors:Achim Zeileis [aut, cre], Friedrich Leisch [aut], Kurt Hornik [aut], Christian Kleiber [aut], Bruce E. Hansen [ctb], Edgar C. Merkle [ctb], Nikolaus Umlauf [ctb]

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strucchange_1.6-0.99.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
strucchange/json (API)

# Install 'strucchange' in R:
install.packages('strucchange', repos = c('https://zeileis.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://codeberg.org/zeileis/strucchange

Datasets:

On CRAN:

Conda:

12.05 score 206 packages 1.7k scripts 53k downloads 34 mentions 46 exports 3 dependencies

Last updated from:b5f1a1c8e1. Checks:4 NOTE, 11 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64NOTE126
linux-devel-x86_64NOTE190
source / vignettesOK283
linux-release-arm64OK183
linux-release-x86_64OK147
macos-release-arm64OK101
macos-release-x86_64OK201
macos-oldrel-arm64OK101
macos-oldrel-x86_64OK276
windows-devel-arm64NOTE217
windows-devel-x86_64NOTE190
windows-release-arm64OK212
windows-release-x86_64OK107
windows-oldrel-x86_64OK101
wasm-releaseOK128

Exports:boundarybreakdatesbreakfactorbreakpointscatL2BBefpefpFunctionalFstatsgefpmaxBBmaxBBImaxBMmaxBMImaxL2BBmaxMOSUMmeanL2BBmefpmonitormonitorMECritvalmonitorMECritvalDatamonitorMECritvalTablemonitorRECritvalmonitorRECritvalDatamonitorRECritvalTableordL2BBordwmaxpargmaxVpvalue.efppvalue.FstatsrangeBBrangeBBIrangeBMrangeBMIrecresidrecresid.defaultroot.matrixsc.beta.avesc.beta.expsc.beta.supsc.maxL2sc.mesc.meanL2sctestsimulateBMDistsolveCrossprodsupLM

Dependencies:latticesandwichzoo

strucchange: An R Package for Testing for Structural Change in Linear Regression Models
Introduction | The model | The data | Generalized fluctuation tests | F tests | Monitoring with the generalized fluctuation test | Conclusions | Implementation details for p values
Rendered fromstrucchange-intro.Rnwusingutils::Sweave

Last update: 2026-08-04
Started: 2012-05-31

Testing, Monitoring, and Dating Structural Changes in the UK Seatbelt Data
Introduction | Data | Base model | Testing: Empirical fluctuation processes | Testing: $F$ statistics | Testing: Generalized empirical fluctuation processes | Dating breaks | Monitoring | References
Rendered fromstrucchange-seatbelt.Rmdusingknitr::rmarkdown

Last update: 2026-08-04
Started: 2026-08-04

Readme and manuals

Help Manual

Help pageTopics
Youth Homicides in BostonBostonHomicide
Boundary Function for Structural Change Testsboundary
Boundary for Empirical Fluctuation Processesboundary.efp
Boundary for F Statisticsboundary.Fstats
Boundary Function for Monitoring of Structural Changesboundary.mefp
Breakdates Corresponding to Breakpointsbreakdates breakdates.breakpoints breakdates.confint.breakpoints
Factor Coding of Segmentationsbreakfactor
Dating Breaksbreakpoints breakpoints.breakpointsfull breakpoints.formula breakpoints.Fstats coef.breakpointsfull df.residual.breakpointsfull fitted.breakpointsfull lines.breakpoints plot.breakpointsfull plot.summary.breakpointsfull print.breakpoints print.summary.breakpointsfull residuals.breakpointsfull summary.breakpoints summary.breakpointsfull vcov.breakpointsfull
Generators for efpFunctionals along Categorical VariablescatL2BB ordL2BB ordwmax
Confidence Intervals for Breakpointsconfint.breakpointsfull lines.confint.breakpoints print.confint.breakpoints
Dow Jones Industrial AverageDJIA
US Labor Productivitydurab
Empirical Fluctuation Processesefp print.efp
Functionals for Fluctuation ProcessesefpFunctional maxBB maxBBI maxBM maxBMI maxL2BB meanL2BB rangeBB rangeBBI rangeBM rangeBMI simulateBMDist
F StatisticsFstats print.Fstats
Generalized Empirical M-Fluctuation Processesgefp plot.gefp print.gefp sctest.gefp time.gefp
German M1 Money DemandGermanM1 historyM1 monitorM1
Marriages, Births and Deaths in GrossarlGrossarl
Log Likelihood and Information Criteria for BreakpointsAIC.breakpointsfull logLik.breakpoints logLik.breakpointsfull
Monitoring of Empirical Fluctuation Processesmefp mefp.efp mefp.formula monitor print.mefp
UK Phillips Curve Equation DataPhillipsCurve
Plot Empirical Fluctuation Processlines.efp plot.efp
Plot F Statisticslines.Fstats plot.Fstats
Plot Methods for mefp Objectslines.mefp plot.mefp
US Ex-post Real Interest RateRealInt
Recursive Residualsrecresid recresid.default recresid.formula recresid.lm
Root of a Matrixroot.matrix
Structural Change PublicationsscPublications
Structural Change Testssctest
Structural Change Tests in Parametric Modelssctest.default
Generalized Fluctuation Testssctest.efp
Structural Change Tests in Linear Regression Modelssctest.formula
supF-, aveF- and expF-Testsctest.Fstats
Inversion of X'XsolveCrossprod
S&P 500 Stock PricesSP2001
Generators for efpFunctionals along Continuous VariablesmaxMOSUM supLM
Income and Expenditures in the USUSIncExp