Alternative boundaries for CUSUM tests
AbstractPerforms CUSUM and CUSUMQ tests of the input series, which should be a series of recursive residuals. Brown, Durbin & Evans(1975), "Techniques for Testing the Constancy of Regression Relationships over Time", JRSS-B, vol 37, 149-192. Edgerton & Wells(1994), "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, vol. 56, no 3, 355-365. Zeileis(2004), "Alternative Boundaries for CUSUM tests", Statistical Papers, vol 45
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Bibliographic InfoArticle provided by Springer in its journal Statistical Papers.
Volume (Year): 45 (2004)
Issue (Month): 1 (January)
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Other versions of this item:
- Tom Doan, . "CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests," Statistical Software Components RTS00045, Boston College Department of Economics.
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- Goodwin, Barry K. & Piggott, Nicholas E., 2012. "Modeling Acreage Response in a New Market Environment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124730, Agricultural and Applied Economics Association.
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