ICSS—Variance Break Procedure

[TomDoan]

@ICSS is a procedure for performing the ICSS procedure for searching for breaks in variance using the algorithm described in Inclan and Tiao, "Use of Cumulative Sums of Squares for Retrospective Detection of Changes in Variance", JASA 1994, vol 89, pp 913-923. There are new options for changing the significance level or critical value used for determining breaks, for using a "robust" estimate of the 4th moment as described in Sanso et. al (2004), and for fetching the identified variance ranges.

The use of this procedure is covered in the 2nd edition of the Structural Breaks and Switching Models course.

Detailed description