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Description

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>.

"# multibreakeR"

This package implements, in a flexible way, the algorithm of Bai, Lumsdaine, and Stock (1998). It authorizes inclusion of trends, exogeneous covariates and break test on the intercept or on the full VAR.

Metadata

Version

0.1.0

License

Unknown

Platforms (75)

    Darwin
    FreeBSD
    Genode
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