multibreakeR: Tests for a Structural Change in Multivariate Time Series

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
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

Documentation:

Reference manual: multibreakeR.pdf
Vignettes: multibreakeR

Downloads:

Package source: multibreakeR_0.1.0.tar.gz
Windows binaries: r-devel: multibreakeR_0.1.0.zip, r-release: multibreakeR_0.1.0.zip, r-oldrel: multibreakeR_0.1.0.zip
macOS binaries: r-release (arm64): multibreakeR_0.1.0.tgz, r-oldrel (arm64): multibreakeR_0.1.0.tgz, r-release (x86_64): multibreakeR_0.1.0.tgz

Linking:

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