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

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

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

Language: RATS
Requires: RATS 7.00
Keywords: Stability tests; CUSUM tests (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/cusumtests.src (text/plain)

Related works:
Journal Article: Alternative boundaries for CUSUM tests (2004)
Journal Article: Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00045

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