Package: mbreaks 1.0.0

Linh Nguyen

mbreaks: Estimation and inference for structural breaks in linear regression models

The library contains efficient dynamic programming approach to conduct estimation, inference and testing for linear models in presence of structural breaks.

Authors:Linh Nguyen [aut, cre], Yohei Yamamoto [aut]

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mbreaks.pdf |mbreaks.html✨
mbreaks/json (API)

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

Peer review:

Bug tracker:https://github.com/rodivinity/mbreaks/issues

Datasets:
  • nkpc - New Keynesian Phillips curve data
  • real - World Health Organization TB data

On CRAN:

20 exports 0.63 score 28 dependencies 7 scripts 263 downloads

Last updated 2 years agofrom:5e57109ba2. Checks:OK: 1 WARNING: 6. Indexed: yes.

TargetResultDate
Doc / VignettesOKAug 23 2024
R-4.5-winWARNINGAug 23 2024
R-4.5-linuxWARNINGAug 23 2024
R-4.4-winWARNINGAug 23 2024
R-4.4-macWARNINGAug 23 2024
R-4.3-winWARNINGAug 23 2024
R-4.3-macWARNINGAug 23 2024

Exports:compile_sbtestscorrectdatingdiag_pardofixdoglobdoorderdorepartdoseqtestsdosequadotestestimintervalmdlnldatpartipartionepftestplot_modelspflp1

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerrlangscalestibbleutf8vctrsviridisLitewithr

Estimation and testing for structural breaks with mbreaks package

Linh Nguyen, Yohei Yamamoto

Rendered frommbreaks_examples.Rmdusingknitr::rmarkdownon Aug 23 2024.

Last update: 2023-01-03
Started: 2022-10-13

Readme and manuals

Help Manual

Help pageTopics
Summary output of Sup Wald testcompile_sbtests
Heteroskedasticy and autocorrelation consistency correctioncorrect
Critical values computationcvg
Calculate optimal break points for pure structural change modeldating
Diagonal partition given break datesdiag_par
Estimate a model with pre-specified number of breaksdofix
Global SSR minimizers proceduredoglob
Order estimation proceduredoorder
Repartition proceduredorepart
SupF(l+1|l) testdoseqtests
Sequential proceduredosequa
SupF, UDMax & WDMax testing proceduredotest
Structural change model estimationestim
Calculate p-valuefuncg
SupF test Critical Valuesgetcv1
SupF(l+1|l) test Critical Valuesgetcv2
Break interval Function computes confidence intervals for the break datesinterval
Long-run covariance matrix computationjhatpr
Robust structural change estimationmdl
Function to calculate power of a matrix @noRdmpower
New Keynesian Phillips curve datankpc
Non-linear dating procedurenldat
Optimal one break partition in partial structural change modelonebp
Calculate optimal point for segment partitionparti
Optimal one break partitions with sequential methodpartione
SupF test for 0 vs i breakspftest
Construct diagonal matrix according to break dateplambda
new plot function for class modelplot_model
prepartion procedurepreparti
Summary output of a n breaks modelprint.model
S3 print function for sup F tests #'Function to format the output of the Sup F testprint.sbtests
S3 function to print sequential testsprint.seqtests
Construct diagonal matrix of estimated variancepsigmq
Covariance matrix of estimator delta constructionpvdel
World Health Organization TB datareal
sequential procedure to obtain number of breaks and break datessequa
SupF(l+1|l) testspflp1