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CUSUM6: Stata module to compute cusum, cusum^2 stability tests

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

cusum6 is an updated version of Sean Becketti's cusum routine, part of the Becketti Time Series Library originally published in STB-24, but not updated for Stata 6.0 in the STB software distribution. The routine calculates the recursive residuals from a time series regression in order to generate the CUSUM (cumulative sum of squares) and CUSUM2 (...squared) tests of structural stability of Brown, Durbin and Evans. The routine requires time series data, and can make use of time series operators in the variable list.

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File URL: http://fmwww.bc.edu/repec/bocode/c/cusum6.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/c/cusum6.hlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/_/_cu_c0.ado
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S408601.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 01 Mar 2000
Date of revision: 09 Oct 2000
Handle: RePEc:boc:bocode:s408601

Note: This module may be installed from within Stata by typing "ssc install cusum6". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: structural stability; recursive residuals; cusum;

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