Graph CUSUM and CUSUM squared
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^cusum9^ varlist [^, noc^onstant ^d^ate(varname) ^nop^lot other-options]
Description
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^cusum9^ 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. This is an updated version of
^cusum6^, which used the pre-version 8 Stata graphics.
^cusum9^ is for use with time series data.
Options
-------
^noc^onstant eliminates the constant from the regressions.
^nop^lot suppresses the graphs.
Other options
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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
--------
. webuse wpi1
. cusum9 wpi L.wpi L2.wpi
. cusum9 wpi L.wpi L2.wpi, cs(cusum) cs2(cusum2) noplot
. cusum9 ln_wpi L(1/4).ln_wpi
References
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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
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Sean Becketti (original version), November 1993, STB-24 sts7_6
Modified for Stata 9 by Christopher F Baum (baum@@bc.edu), September 2020