CUSUMTests—CUSUM, CUSUMQ tests
Posted: Tue Aug 28, 2018 5:29 pm
@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.
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.