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]

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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:

4.00 score 7 scripts 257 downloads 20 exports 28 dependencies

Last updated 12 days agofrom:017d8b5b24. Checks:OK: 1 WARNING: 6. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 11 2024
R-4.5-winWARNINGNov 11 2024
R-4.5-linuxWARNINGNov 11 2024
R-4.4-winWARNINGNov 11 2024
R-4.4-macWARNINGNov 11 2024
R-4.3-winWARNINGNov 11 2024
R-4.3-macWARNINGNov 11 2024

Exports:compile_modelcompile_sbtestscompile_seqtestscorrectdatingdiag_pardofixdoglobdoorderdorepartdoseqtestsdosequadotestestimintervalmdlnldatpftestplot_modelspflp1

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerrlangscalestibbleutf8vctrsviridisLitewithr

Estimating and testing for multiple structural changes with mbreaks package

Linh Nguyen, Pierre Perron, Yohei Yamamoto

Rendered fromexamples_mbreaks.Rmdusingknitr::rmarkdownon Nov 11 2024.

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

Estimation and testing for structural breaks with mbreaks package

Linh Nguyen, Yohei Yamamoto

Rendered frommbreaks_examples.Rmdusingknitr::rmarkdownon Nov 11 2024.

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