CUSUMTests - CUSUM, CUSUMQ tests
Posted: Sun Sep 20, 2009 12:49 pmPerforms CUSUM and CUSUMQ tests of the input series, which should be a series of recursive residuals.
@CusumTests( options ) resids start end
Options
FOOTER=graph footer ["CUSUM Tests"]
HEADER=graph header [none]
Variables Defined
References
For the general technique:
Brown, Durbin & Evans(1975), "Techniques for Testing the Constancy of Regression Relationships over Time", JRSS-B, vol 37, 149-192.
For the significance level on the CUSUM test:
Zeileis(2004), "Alternative Boundaries for CUSUM tests", Statistical Papers, vol 45, no 1, 123-131.
For the critical boundaries on the CUSUMQ test:
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.
@CusumTests( options ) resids start end
Options
FOOTER=graph footer ["CUSUM Tests"]
HEADER=graph header [none]
Variables Defined
| %CDSTAT | value of the CUSUM statistic (maximum absolute value) |
| %SIGNIF | (approximate) significance level of the CUSUM |
| %%CUSUMQ | value of CUSUMQ statistic (maximum absolute gap) |
| %%CUSUMQCV | .05 critical value for CUSUMQ |
References
For the general technique:
Brown, Durbin & Evans(1975), "Techniques for Testing the Constancy of Regression Relationships over Time", JRSS-B, vol 37, 149-192.
For the significance level on the CUSUM test:
Zeileis(2004), "Alternative Boundaries for CUSUM tests", Statistical Papers, vol 45, no 1, 123-131.
For the critical boundaries on the CUSUMQ test:
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.