Other packages > Find by keyword >

memochange  

Testing for Structural Breaks under Long Memory and Testing for Changes in Persistence
View on CRAN: Click here


Download and install memochange package within the R console
Install from CRAN:
install.packages("memochange")

Install from Github:
library("remotes")
install_github("cran/memochange")

Install by package version:
library("remotes")
install_version("memochange", "1.1.1")



Attach the package and use:
library("memochange")
Maintained by
Kai Wenger
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-08-28
Latest Update: 2020-07-26
Description:
Test procedures and break point estimators for persistent processes that exhibit structural breaks in mean or in persistence. On the one hand the package contains the most popular approaches for testing whether a time series exhibits a break in persistence from I(0) to I(1) or vice versa, such as those of Busetti and Taylor (2004) and Leybourne, Kim, and Taylor (2007). The approach by Martins and Rodrigues (2014), which allows to detect changes from I(d1) to I(d2) with d1 and d2 being non-integers, is included as well. In case the tests reject the null of constant persistence, various breakpoint estimators are available to detect the point of the break as well as the order of integration in the two regimes. On the other hand the package contains the most popular approaches to test for a change-in-mean of a long-memory time series, which were recently reviewed by Wenger, Leschinski, and Sibbertsen (2018). These include memory robust versions of the CUSUM, sup-Wald, and Wilcoxon type tests. The tests either utilize consistent estimates of the long-run variance or a self normalization approach in their test statistics. Betken (2016) Busetti and Taylor (2004) Dehling, Rooch and Taqqu (2012) Harvey, Leybourne and Taylor (2006) Horvath and Kokoszka (1997) Hualde and Iacone (2017) Iacone, Leybourne and Taylor (2014) Leybourne, Kim, Smith, and Newbold (2003) Leybourne and Taylor (2004) Leybourne, Kim, and Taylor (2007): Martins and Rodrigues (2014) Shao (2011) Sibbertsen and Kruse (2009) Wang (2008) Wenger, Leschinski and Sibbertsen (2018) .
How to cite:
Kai Wenger (2019). memochange: Testing for Structural Breaks under Long Memory and Testing for Changes in Persistence. R package version 1.1.1, https://cran.r-project.org/web/packages/memochange. Accessed 04 Jan. 2025.
Previous versions and publish date:
1.0.0 (2019-08-28 13:30), 1.1.0 (2019-11-26 17:20)
Other packages that cited memochange R package
View memochange citation profile
Other R packages that memochange depends, imports, suggests or enhances
Complete documentation for memochange
Functions, R codes and Examples using the memochange R package
Some associated functions: BP_estim . BT . CUSUMLM . CUSUM_simple . CUSUMfixed . CV . HLT . HLTmin . LBI . LBI_test . LKSN . LKSN_test . LT . MR . MR_test . cusum . cusum_test . d_vec . ers_test . fb_longrun . fixbsupw . getCV . memochange . pb_sim . ratio_test . snsupwald . snwilcoxon . wald_test . wilcoxonLM . 
Some associated R codes: BP_estim.R . CUSUMLM.R . CUSUM_simple.R . CUSUMfixed.R . CV_shift.R . CritValues_Persistence.R . LBI_test.R . LKSN_test.R . MR_test.R . cusum_test.R . fb_longrun.R . fixbsupw.R . memochange.R . pb_sim.R . ratio_test.R . snsupwald.R . snwilcoxon.R . wilcoxonLM.R .  Full memochange package functions and examples
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

qualmap  
Opinionated Approach for Digitizing Semi-Structured Qualitative GIS Data
Provides a set of functions for taking qualitative GIS data, hand drawn on a map, and converting it ...
Download / Learn more Package Citations See dependency  
epubr  
Read EPUB File Metadata and Text
Provides functions supporting the reading and parsing of internal e-book content from EPUB files. T ...
Download / Learn more Package Citations See dependency  
ravedash  
Dashboard System for Reproducible Visualization of "iEEG"
Dashboard system to display the analysis results produced by 'RAVE' (Magnotti J.F., Wang Z., Beauch ...
Download / Learn more Package Citations See dependency  
gggibbous  
Moon Charts, a Pie Chart Alternative
Moon charts are like pie charts except that the proportions are shown as crescent or gibbous portio ...
Download / Learn more Package Citations See dependency  
EffectLiteR  
Average and Conditional Effects
Use structural equation modeling to estimate average and conditional effects of a treatment variabl ...
Download / Learn more Package Citations See dependency  
VARMER  
Variational Merging
A new mathematical formulation to merge observed data with gridded images of environmental variables ...
Download / Learn more Package Citations See dependency  

23,440

R Packages

202,297

Dependencies

63,567

Author Associations

23,434

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA