RecursiveLSResults.cusum()
[source]
Cumulative sum of standardized recursive residuals statistics
Returns: |
cusum – An array of length nobs - k_exog holding the CUSUM statistics. |
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Return type: | array_like |
The CUSUM statistic takes the form:
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)
[*] | 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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http://www.statsmodels.org/stable/generated/statsmodels.regression.recursive_ls.RecursiveLSResults.cusum.html