*
* @CVStabTest start end
* # list of series
*
* Performs the special case of the test in Jukka Nyblom, "Testing for Constancy of
* Parameters Over Time", JASA 1989, vol 84, pp 223-230 for the case of a complete
* covariance matrix. Note that while this should have the correct asymptotic
* distribution under the null (under fairly typical assumptions in addition to
* stability), the argument for it being UMP against an alternative of martingale
* behavior won't hold because the covariance matrix is constrained to be p.d.
*
* Parameters:
* start end Range of data to analyze. By default, the defined range of
* the listed series.
*
* This produces a test statistic which will have the asymptotic distribution shown
* in Table 2 in Nyblom or using the %nyblomtest function.
*
* Revision Schedule:
* 02/2005 Written by Tom Doan, Estima
* 02/2006 Updated to use %NYBLOMTEST function for p-value
*
procedure cvstabtest start end
type integer start end
*
local vect[int] ulist
local vect vvec ut fsig
local int vdim
local symm v sigsig sigsiginv uu
local integer startl endl time
local real sstat
local equation temp
*
enter(varying) ulist
equation temp *
# ulist
inquire(reglist) startl<