RATS program to demonstrate Inclan-Tiao test for breaks in variance

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Inclan and Tiao, "Use of Cumulative Sums of Squares for Retrospective Detection of Changes in Variance", JASA 1994, vol 89, pp 913-923. Data are included in the program file.

Language: RATS
Requires: RATS 8.00
Keywords: Stability; 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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https://www.estima.com/procs_perl/inclantiao.rpf (text/plain)

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