Statistical and econometric software tools for data analysis.
PcGive & OxMetrics Econometric Software:
Econometric modelling including automatic model selection (through Autometrics) and break detection using indicator saturation (isat) using impulses (IIS) and step-indicators (SIS). PcGive and OxMetrics are developed by Jurgen Doornik and David Hendry. Available here.
gets: General-to-specific model selection and break detection using indicator saturation (isat) using impulses (IIS) and step-indicators (SIS) – developed by Genaro Sucarrat, James Reade, and Felix Pretis. Available here. For more technical detail see the paper on SIS (open-access in Econometrics, 3:2, pp.240-264) and discussion paper (accepted in Journal of Statistical Software) on the R package. (Version 0.13 released on 7.10.2017, release-notes).
Package download statistics from CRAN:
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We also have a blog post on using indicator saturation to detect breaks discussing the Autobox comparison.
Try interactive indicator saturation using isat online – select a dataset (e.g. flow of the river Nile at Ashwan) and use indicator saturation to find sudden shifts (structural breaks) and outlying observations at a chosen level of significance: