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CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Performs 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

Suggested Citation

  • Tom Doan, "undated". "CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests," Statistical Software Components RTS00045, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00045
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/cusumtests.src
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