statsmodels.regression.recursive_ls.RecursiveLSResults.cusum¶

RecursiveLSResults.cusum¶

Cumulative sum of standardized recursive residuals statistics

Returns:¶

cusumarray_like

An array of length nobs - k_exog holding the CUSUM statistics.

Notes

The CUSUM statistic takes the form:

$$W_t=\frac{1}{\hat{\sigma }}\sum _{j=k+1}^t{w}_j$$

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)

References