English, Article edition: CUSUM6: Stata module to compute cusum, cusum^2 stability tests Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/175538
Physical Description
  • code
Language
  • English

Edition details

Title
  • CUSUM6: Stata module to compute cusum, cusum^2 stability tests
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • cusum6 is an updated version of Sean Becketti's cusum routine, part of the Becketti Time Series Library originally published in STB-24, but not updated for Stata 6.0 in the STB software distribution. The routine calculates the recursive residuals from a time series regression in order to generate the CUSUM (cumulative sum of squares) and CUSUM2 (...squared) tests of structural stability of Brown, Durbin and Evans. The routine requires time series data, and can make use of time series operators in the variable list.
  • structural stability, recursive residuals, cusum
  • RePEc:boc:bocode:s408601
Language
  • English
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