Change Point Analysis Tests
Andrews' Test for End-of-Sample Structural Change
Univariate Andrews Test for End-of-Sample Structural Change
Multivariate Andrews' Test for End-of-Sample Structural Change
Create Package Startup Message
Variance Estimation Consistent Under Change
CUSUM Test
Darling-Erdös Test
Package Attach Hook Function
Rényi-Type Statistic Limiting Distribution Density Function
Long-Run Variance Estimation With Possible Change Points
Weights for Long-Run Variance
Concatenate (With Space)
Concatenate (Without Space)
Rényi-Type Test
Hidalgo-Seo Test
Darling-Erdös Statistic CDF
Hidalgo-Seo Statistic CDF
Kolmogorov CDF
Rènyi-Type Statistic CDF
Darling-Erdös Statistic Limiting Distribution Quantile Function
Hidalgo-Seo Statistic Limiting Distribution Quantile Function
Kolmogorov Distribution Quantile Function
Rènyi-Type Statistic Quantile Function
Simulate Univariate Data With a Single Change Point
Darling-Erdös Statistic Simulation
Hidalgo-Seo Statistic Simulation
CUSUM Statistic Simulation (Assuming Variance)
CUSUM Statistic Simulation
Rènyi-Type Statistic Simulation (Assuming Variance)
Rènyi-Type Statistic Simulation
Compute the Darling-Erdös Statistic
Compute the Hidalgo-Seo Statistic
Compute the CUSUM Statistic
Compute the Rényi-Type Statistic
Implements several statistical tests for structural change, specifically the tests featured in Horváth, Rice and Miller (in press): CUSUM (with weighted/trimmed variants), Darling-Erdös, Hidalgo-Seo, Andrews, and the new Rényi-type test.