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

Author

Listed:
  • 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.

Suggested Citation

  • Christopher F Baum, 2000. "CUSUM6: Stata module to compute cusum, cusum^2 stability tests," Statistical Software Components S408601, Boston College Department of Economics, revised 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.
    as

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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
    File Function: program code
    Download Restriction: no

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