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.
- Version0.1.0
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Languageen-US
- Last release05/24/2023
Documentation
Team
Loic Marechal
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