ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Performs the Inclan-Tiao test for breaks in variance. Inclan and Tiao(1994), "Use of Cumulative Sums of Squares for Retrospective Detection of Changes in Variance", JASA, vol 89, 913-923.

Language: RATS
Requires: RATS 7.30
Keywords: Stability; tests (search for similar items in EconPapers)
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