The RATS Software Forum

Hello,

I have a question about stability test (@stabtest et Cusum), I know how to do this tests with linear regression but I don't know how to do with an ARMA.

@STABTEST is a special case of the Nyblom fluctuations test applied to a linear model. To do apply @FLUX to an ARMA model, add the DERIVES option to the BOXJENK instruction and use the procedure as described in the link.

The Cusum test is specific to linear models.