cusum

Purpose

Compute the Brown, Durbin, and Evans (1975) CUSUM test using the empirical fluctuation process of the cumulative sums of standardized residuals.

Format

{ cs, cst2 } = cusum(yt, xt [, gr, minwin]);

Parameters:

• yt (vector) – data.

• gr (scalar) – Optional, indicator to graph vector of CUSUM test statistics. 0 for no printing, otherwise graphs and printed. Default = 1.

• gr – Optional, minimum estimation window size. If \(0 \lt minwin \lt 1\), minwin indicates a percentage of the number of observations in yt. If \(minwin \gt 1\), minwin indicates the actual number of observations in the window size. Default = 0.3.

Returns:

• xt (matrix) – estimation regressors.

• cst (vector) – CUSUM test statistics.

• cst2 (vector) – CUSUM squared test statistics.

Example

 new;
 cls;
 library tsmt;

 /********************************************/
// This generates 300 observations of an
// linear time series with a break in the constant
// at observations 90

b1 = { 0.6, 0.25, 0.75 };
b2 = { 0.95, 0.25, 0.75 };

n1 = 90;
n_tot = 300;
xt = ones(n_tot, 1)~rndn(n_tot, 2);
et = rndn(n_tot, 1);

// Create series with break
y1 = xt[1:n1, .]*b1 + et[1:n1, .];
y2 = xt[n1+1:n_tot, .]*b2 + et[n1+1:n_tot, .];
yt_break = y1|y2;

// Create series without break
yt = xt*b1 + et;

/********************************************/
//Next set the cusum parameters
/********************************************/
minwin = 30;
gr = 1;

/********************************************/
//Test residuals using cusum
/********************************************/
plotOpenWindow();
{ cst1, cst1_2 } = cusum(yt_break, xt);

plotOpenWindow();
{ cst2, cst2_2 } = cusum(yt, xt);

Remarks

The Brown, Durbin, and Evans (1975) CUSUM test considers the empirical fluctuation process of the cumulative sums of standardized residuals. Under the null hypothesis of constant coefficients the residuals should have zero mean. Hence, significant deviation from zero at time indicates possible structural change at time t. The test is valid for dynamic models.

Reference

Brown, R.L., Durbin, J., and Evans, J.M. (1975). Techniques for testing the constancy of regression relationships over time, Journal of Royal Statistical Society, Series B, 35, 149-192. .

Library

tsmt

Source

cusum.src