Graph CUSUM and CUSUM squared -----------------------------^cusum6^ varlist [^, noc^onstant ^d^ate(varname) ^nop^lot other-option > s]

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