statsmodels.regression.recursive_ls.RecursiveLSResults.plot_cusum

RecursiveLSResults.plot_cusum(alpha=0.05, legend_loc='upper left', fig=None, figsize=None)

Plot the CUSUM statistic and significance bounds.

Parameters:

alphafloat, optional

The plotted significance bounds are alpha %.

legend_locstr, optional

The location of the legend in the plot. Default is upper left.

figFigure, 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 statistic moves out of the significance bounds.

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.