Package: mbreaks 1.0.1

Linh Nguyen

mbreaks: Estimation and Inference for Structural Breaks in Linear Regression Models

Functions provide comprehensive treatments for estimating, inferring, testing and model selecting in linear regression models with structural breaks. The tests, estimation methods, inference and information criteria implemented are discussed in Bai and Perron (1998) "Estimating and Testing Linear Models with Multiple Structural Changes" <doi:10.2307/2998540>.

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

mbreaks_1.0.1.tar.gz
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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
mbreaks/json (API)

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

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

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

On CRAN:

Conda:

4.26 score 1 stars 18 scripts 464 downloads 20 exports 17 dependencies

Last updated from:017d8b5b24. Checks:7 WARNING, 2 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develWARNING112
source / vignettesOK175
linux-releaseWARNING134
macos-releaseWARNING193
macos-oldrelWARNING214
windows-develWARNING73
windows-releaseWARNING109
windows-oldrelWARNING85
wasm-releaseOK87

Exports:compile_modelcompile_sbtestscompile_seqtestscorrectdatingdiag_pardofixdoglobdoorderdorepartdoseqtestsdosequadotestestimintervalmdlnldatpftestplot_modelspflp1

Dependencies:clicpp11farverggplot2gluegtableisobandlabelinglifecycleR6RColorBrewerrlangS7scalesvctrsviridisLitewithr

Estimating and testing for multiple structural changes with mbreaks package
Econometric framework of mbreaks package | Usage, arguments and examples | Usage of main functions in mbreaks | Options for high-level functions | Empirical examples | US real interest rate | New Keynesian Phillips Curve | Reference
Rendered fromexamples_mbreaks.Rmdusingknitr::rmarkdown

Last update: 2024-11-11
Started: 2024-11-11

Estimation and testing for structural breaks with mbreaks package
Estimation, inference and testing using mbreaks | Econometric framework | Usage, arguments and examples | Usage of main functions in mbreaks | Options for high-level functions | Empirical examples | US real interest rate | New Keynesian Phillips Curve
Rendered frommbreaks_examples.Rmdusingknitr::rmarkdown

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

Readme and manuals

Help Manual

Help pageTopics
Format output of n break modelcompile_model
Compile the Output of Sup Wald Testcompile_sbtests
Compile the output of sequential Sup Wald testcompile_seqtests
Heteroskedasticy and autocorrelation consistency correction for residualscorrect
Critical values computationcvg
Computation of global minimizer for pure structural change modeldating
Diagonal partition given break datesdiag_par
Estimate a model with pre-specified number of breaksdofix
Global SSR minimizer for structural change modeldoglob
Estimating number of breaks via information criteriondoorder
Estimating number of breaks using repartition proceduredorepart
Sequential Sup F testsdoseqtests
Estimating number of breaks using sequential testsdosequa
SupF, UDMax & WDMax testing proceduredotest
Structural change model estimationestim
Calculate p-valuefuncg
SupF test Critical Valuesgetcv1
SupF(l+1|l) test Critical Valuesgetcv2
Estimatd break confidence intervalinterval
Long-run covariance matrix computationjhatpr
Comprehensive structural change estimation and testingmdl
Function to calculate power of a matrix @noRdmpower
New Keynesian Phillips curve datankpc
Computation of global minimizer for partial structural change modelnldat
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
Plot structural change modelplot_model
prepartion procedurepreparti
Print information of `mbreaks` comprehensive procedureprint.mdl
Summary output of a structural breaks `model`print.model
Print Sup F and UDMax testsprint.sbtests
Print sequential SupF 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