CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ 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 InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00045.
Programming language: RATS
Requires: RATS 7.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Edgerton, David & Wells, Curt, 1994. "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 355-65, August.
- Achim Zeileis, 2004. "Alternative boundaries for CUSUM tests," Statistical Papers, Springer, vol. 45(1), pages 123-131, January.
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