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RecursiveLSResults.cusum()

statsmodels.regression.recursive_ls.RecursiveLSResults.cusum

RecursiveLSResults.cusum() [source]

Cumulative sum of standardized recursive residuals statistics

Returns:

Returns:	cusum : array_like An array of length `nobs - k_exog` holding the CUSUM statistics.

cusum : array_like

An array of length nobs - k_exog holding the CUSUM statistics.

Notes

The CUSUM statistic takes the form:

$W_t = \frac{1}{\hat \sigma} \sum_{j=k+1}^t w_j$

where $w_j$ is the recursive residual at time $j$ and $\hat \sigma$ is the estimate of the standard deviation from the full sample.

Excludes the first k_exog datapoints.

Due to differences in the way $\hat \sigma$ is calculated, the output of this function differs slightly from the output in the R package strucchange and the Stata contributed .ado file cusum6. The calculation in this package is consistent with the description of Brown et al. (1975)

References

[R43]

Brown, R. L., J. Durbin, and J. M. Evans. 1975. “Techniques for Testing the Constancy of Regression Relationships over Time.” Journal of the Royal Statistical Society. Series B (Methodological) 37 (2): 149-92.

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© 2006 Jonathan E. Taylor
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