statsmodels.regression.recursive_ls.RecursiveLSResults.plot_cusum_squares¶
-
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
- alpha
float
,optional
The plotted significance bounds are alpha %.
- legend_loc
str
,optional
The location of the legend in the plot. Default is upper left.
- fig
Figure
,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().
- figsize
tuple
,optional
If a figure is created, this argument allows specifying a size. The tuple is (width, height).
- alpha
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.
- 1
Edgerton, David, and Curt Wells. 1994. “Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples.” Oxford Bulletin of Economics and Statistics 56 (3): 355-65.