multibreakeR: Tests for a Structural Change in Multivariate Time Series (original) (raw)
Flexible implementation of a structural change point detection algorithm for multivariate time series. It authorizes inclusion of trends, exogenous variables, and break test on the intercept or on the full vector autoregression system. Bai, Lumsdaine, and Stock (1998) <doi:10.1111/1467-937X.00051>.
| Version: | 0.1.0 |
|---|---|
| Depends: | R (≥ 3.5.0) |
| Imports: | dplyr, ggplot2, reshape2, rlang (≥ 0.4.11), scales, stats |
| Suggests: | knitr, rmarkdown, roxygen2, testthat (≥ 3.0.0) |
| Published: | 2023-05-24 |
| DOI: | 10.32614/CRAN.package.multibreakeR |
| Author: | Loic Marechal [cre, aut] |
| Maintainer: | Loic Marechal <loic.marechal at unil.ch> |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| URL: | https://github.com/loicym/multibreakeR |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README, NEWS |
| CRAN checks: | multibreakeR results |
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