Grocer Function

NAME

cusumf - forward cusum stability tests

CALLING SEQUENCE

[rcusum]=cusumf(y,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Computes forward cusum and cusum-squares test and plots the tests values along with their 5% confidence bands (see Brown R.L, J. Durbin and J.M Evans (1975):"Techniques for Testing the Constancy of Regression Relationship over Time", Journal of the Royal Statistical Society, Series B, n°2, 149-192).

EXAMPLE

load('grocer/bdexamples/bdhenderic.dat') ; bounds('1964q3','1985q2') ; r=cusumf('del(lm1-lp)','del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte')

This example is taken from function cusum_d. The example provides the cusum forward stability test for the estimation of Hendry and Ericsson equation # 6.

AUTHOR

Eric Dubois 2002