CUSUM9: Stata module to compute cusum, cusum^2 stability tests

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: cusum9 is an updated version of Sean Becketti's cusum routine, part of the Becketti Time Series Library originally published in STB-24. 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. This routine updates cusum6, which used the pre-version 8 Stata graphics, for modern Stata graphics.

Language: Stata
Requires: Stata version 9.0
Keywords: structural stability; recursive residuals; cusum (search for similar items in EconPapers)
Date: 2020-09-27
Note: This module may be installed from within Stata by typing "ssc install cusum9". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/cusum9.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cusum9.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/File-URL:http:/ ... epec/bocode/_/c0.ado program code (text/plain)
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