Detecting Structural Change with Heteroskedasticity

Calculates the sup MZ value to detect the unknown structural break points under Heteroskedasticity as given in Ahmed et al. (2017) ().

SupMZ: Detecting Structural Change with Heteroskedasticity

Introduction

The SupMZ package calculates the sup MZ value to detect the unknown structural break points under Heteroskedasticity as given in Ahmed et al. (2017).

Authors

1. Muhammad Yaseen (myaseen208@gmail.com)
2. Sami Ullah (samiullahuos@gmail.com)
3. Gulfam Haider (haider.gulfam786@gmail.com)

Installation

Use devtools to install the development version from Github:

if(!require("remotes")) install.packages("remotes")
devtools::install_github("myaseen208/SupMZ")

License

This package is free and open source software, licensed under GPL.