CUSUMTests—CUSUM, CUSUMQ tests

[TomDoan]

@CUSUMTests performs CUSUM and CUSUMQ tests of the input series, which should be a series of recursive residuals.

Detailed description

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.