statsmodels.stats.diagnostic.breaks_cusumolsresid¶
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statsmodels.stats.diagnostic.
breaks_cusumolsresid
(olsresidual, ddof=0)[source]¶ cusum test for parameter stability based on ols residuals
- Parameters
- Returns
- sup_b
float
test statistic, maximum of absolute value of scaled cumulative OLS residuals
- pval
float
Probability of observing the data under the null hypothesis of no structural change, based on asymptotic distribution which is a Brownian Bridge
- crit:
list
tabulated critical values, for alpha = 1%, 5% and 10%
- sup_b
Notes
tested against R:strucchange
Not clear: Assumption 2 in Ploberger, Kramer assumes that exog x have asymptotically zero mean, x.mean(0) = [1, 0, 0, …, 0] Is this really necessary? I do not see how it can affect the test statistic under the null. It does make a difference under the alternative. Also, the asymptotic distribution of test statistic depends on this.
From examples it looks like there is little power for standard cusum if exog (other than constant) have mean zero.
References
Ploberger, Werner, and Walter Kramer. “The Cusum Test with OLS Residuals.” Econometrica 60, no. 2 (March 1992): 271-285.