Graph CUSUM and CUSUM squared
-----------------------------
^cusum6^ varlist [^, noc^onstant ^d^ate(varname) ^nop^lot other-options]
Description
-----------
^cusum6^ calculates and graphs the cumulative sums (CUSUM) of the recursive
residuals and their squares from the regression specified by "varlist". Each
graph includes a 95 percent confidence band.
^cusum6^ is for use with time series data.
Options
-------
^noc^onstant eliminates the constant from the regressions.
^nop^lot suppresses the graphs.
Other options
-------------
The CUSUM statistics and the confidence bands can be stored for later use.
The options for storing these variables are
CUSUM information
-----------------
^rr^(varname) stores the recursive residuals.
^c^s(varname) stores the CUSUM.
^l^w(varname) stores the lower limit of the confidence band.
^u^w(varname) stores the upper limit of the confidence bankd.
CUSUM of squares information
----------------------------
^c^s2(varname) stores the CUSUM of squares.
^lww^(varname) stores the lower limit of the confidence band.
^s^qline(varname) stores the reference line.
^uww^(varname) stores the upper limit of the confidence band.
Examples
--------
. cusum6 m1 L.m1 L2.m1
. cusum6 m1 L.m1 L2.m1, cs(cusum) cs2(cusum2) noplot
. cusum6 m1 L(1/4).m1
References
----------
Brown, R.L., J. Durbin, and J.M. Evans (1975). "Techniques for testing the
constancy of regression relationships over time (with discussion)," ^Journal^
^of the Royal Statistical Society^. Series B, Volume 37, pp. 149-192.
Harvey, A.C. (1990). ^The Econometric Analysis of Time Series^. MIT Press.
Author
------
Sean Becketti (original version), November 1993, STB-24 sts7_6
Modified for Stata 6 by Christopher F Baum (baum@@bc.edu), 1 March 2000