strucchange 1.6-0

• Code repository changed from R-Forge to Codeberg at: https://codeberg.org/zeileis/strucchange/

• Added altdoc page with overview and documentation at: https://zeileis.codeberg.page/strucchange/

• A new hands-on introduction to the package was written for the altdoc page which is also available as: vignette("strucchange-seatbelt", package = "strucchange")

• Fixed long-standing issue of multiple definitions of computeEmpProc() within mefp() with different arguments. Now all definitions have all of the arguments (set to NULL by default) and check that only the required arguments are specified.

• Similarly the issue of multiple definitions of plotProcess() with different arguments in efpFunctional() has been fixed. Now all arguments are the same and differences in the defaults are resolved within the different functions, also catching potentially erroneous specifications.

• Updated structure() calls to use names = ... instead of .Names = ... etc.

strucchange 1.5-4

• Updated reference output from examples for R CMD check.

strucchange 1.5-3

• Fixups for R CMD check on different platforms (thanks to support from Kurt Hornik and Tomas Kalibera).

• Fixed auto-detection of problems with sorting in summary() methods of breakpointsfull objects (reported by Spencer Graves). In some extreme cases with many breakpoints and very short segments, the sort = TRUE approach of displaying the breakpoints fails which was not reported correctly automatically.

strucchange 1.5-2

• Added lrvar = FALSE argument to efp() so that optionally a long-run variance estimator (Andrews or Newey-West) instead of the standard OLS estimator can be used for the error variance.

• Added vcov. = NULL argument to efp() so that optionally other covariance matrix estimators can be plugged into RE and ME tests (e.g., sandwich(), kernHAC(), NeweyWest(), etc.).

• The default recresid() gained an argument qr.tol = 1e-7 which allows to pass another tolerance to lm.fit() for detecting linear dependencies in (small) subsamples. Furthermore, an argument engine = c("R", "C") has been added along with an alternative faster C implementation (by Nikolaus Umlauf).

• The formula method of breakpoints() now passes ... to recresid(), e.g., for the qr.tol and engine arguments above.

• The breaks argument of the breakpoints() formula argument is now checked to be at least 1.

• breakpoints(..., hpc = "foreach") now also works if the foreach package is not attached.

• Improved support for formulas like y ~ . in efp(), Fstats(), and breakpoints() (suggested by Matthieu Stigler).

• Bug fix in gefp(..., decorrelate = FALSE). Scaling is done with the square root of the diagnoal of the variance - as opposed to the diagonal of the square root of the variance (reported by Dries Debeer).

strucchange 1.5-1

• ordL2BB() now uses a direct simulation method based on mvtnorm::rmvnorm() which is much faster, making the computation of p values and critical values for the ordinal maxLM statistic much faster and feasible “on the fly”.

• Reduced number of significant digits in the summary() for breakpoints to getOption("digits") - 3.

• Reference output updated for recent versions of R.

strucchange 1.5-0

• Added new efpFunctional generators for conducting various types of structural change tests based on empirical fluctuation processes of class "gefp". In particular a (maximum) MOSUM functional was added as well as several functionals suitable for aggregation along categorical variables. The documentation for previously available functionals such as supLM() was also enhanced.

• The new functionals mentioned above for assessing parameter instability along (ordered) categorical variables are catL2BB (unordered), ordL2BB and ordwmax (ordered). These are discussed in more detail in Merkle, Fan, and Zeileis (2013, Psychometrika).

• Added a new default method for sctest(). This essentially just calls gefp(object, fit = NULL) and then (optionally) calls plot() and sctest() using the specified functional. However, several convenience options have been added, e.g., using the maximum likelihood information (rather than the outer product of gradients) for the covariance matrix or specifying the functional via a character string.

• Documentation of the sctest() generic and its methods have been enhanced. Methods for formula, efp, and Fstats are suitable for assessing structural changes in linear regression models while the default and gefp methods (see above) are suitable for general parametric models.

• Improved plot() method for gefp/efpFunctional to allow for more flexibility in boundary display. Rather than only boundary = TRUE or FALSE one can now specify a list of graphical parameters, e.g., boundary = list(col = "slategray", lty = 2).

• Updated Depends/Imports in DESCRIPTION/NAMESPACE with new R CMD check requirements.

strucchange 1.4-7

• plotProcess() function in "efpFunctional" objects now takes a boundary = TRUE argument by default which can be set to FALSE to suppress plotting of the boundary function.

• Added a check (and a more intelligible warning) in the formula method of breakpoints() whether the breaks argument supplied by the user is too large.

strucchange 1.4-6

• Default recresid() can now also deal with regressors that do not vary across (small) subsamples.

strucchange 1.4-5

• Further improvements in new recresid() default method. Now also works correctly if some coefficients are not identified on the initial subsamples in the recursion.

• Resaved datasets to reduce storage requirements.

• Fixed bug in breakpoints() for time series that contain NAs.

strucchange 1.4-4

• Default recresid() method now tries to choose adaptively between using the faster updating formula and the slower full QR decomposition to yield numerically more stable results. In previous versions of the function the QR decomposition was used only in the first iteration.

• Improvement in breakdates() computations.

strucchange 1.4-3

• Speed-up in breakpoints() for the intercept-only case, i.e., breakpoints(y ~ 1).

strucchange 1.4-2

• Improved time index computations in gefp().

• Added replication notes in ?durab.

strucchange 1.4-1

• efp(), Fstats(), and breakpoints() are now more cautios about using time series properties from the data and try to check whether any NAs were removed. In general, the functions will yield best results if all NA processing is done before calling them.

• Better handling of time series properties for the boundaries in the examples of SP2001.

strucchange 1.4-0

• Added optional high performance computing support by means of the foreach package for the breakpoints() formula method. This can be leveraged to alleviate the computational burden in the dynamic programming approach. Simply register a parallel backend (e.g., by means of doMC or doSNOW) and call breakpoints() with additional argument hpc = "foreach".

strucchange 1.3-7

• Added optional start end end arguments to recresid().

strucchange 1.3-6

• Rnhanced documentation for new Rd parser.

strucchange 1.3-5

• Added some further references to the vignette, and provide the associated .bib file in ~/inst/doc/.

• Removed \itemize in Rd files for new R-devel.

strucchange 1.3-4

• Fixed CITATION encoding.

• Removed Z.sty dependency in vignette.

strucchange 1.3-3

• Enhanced references in the vignette, CITATION and man pages.

• Fixed some outdated information in the vignette.

strucchange 1.3-2

• Added new data set with bibliographic information about structural change publications.

strucchange 1.3-1

• Renamed SP500 to SP2001 to avoid conflicts with MASS.

strucchange 1.3-0

• Added NAMESPACE.

• Improved dependency declaration in DESCRIPTION.