CUSUMTESTS—CUSUM Model Stability Tests

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

CUSUMTESTS—CUSUM Model Stability Tests

Post by TomDoan »

@CUSUMTESTS performs performs CUSUM and CUSUMQ tests from Brown, Durbin & Evans(1975) on the input series, which should be a series of recursive residuals. The CUSUM tests primarily for a break in the model itself, while the CUSUMSQ tests primarily for a break in the residual variance.

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