CUSUMTESTS—CUSUM Model Stability Tests
Posted: Mon May 08, 2023 8:27 am
@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.
Detailed description
Detailed description