statsmodels.regression.recursive_ls.RecursiveLSResults.plot_cusum_squares¶
method
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RecursiveLSResults.plot_cusum_squares(alpha=0.05, legend_loc='upper left', fig=None, figsize=None)[source]¶ Plot the CUSUM of squares statistic and significance bounds.
- Parameters
- alphafloat, optional
The plotted significance bounds are alpha %.
- legend_locstring, optional
The location of the legend in the plot. Default is upper left.
- figMatplotlib Figure instance, optional
If given, subplots are created in this figure instead of in a new figure. Note that the grid will be created in the provided figure using fig.add_subplot().
- figsizetuple, optional
If a figure is created, this argument allows specifying a size. The tuple is (width, height).
Notes
Evidence of parameter instability may be found if the CUSUM of squares statistic moves out of the significance bounds.
Critical values used in creating the significance bounds are computed using the approximate formula of [1].
References
- *
Brown, R. L., J. Durbin, and J. M. Evans. 1975. “Techniques for Testing the Constancy of Regression Relationships over Time.” Journal of the Royal Statistical Society. Series B (Methodological) 37 (2): 149-92.