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Hi,
I'm trying to do the CUSUM test through separated regressions but the result differs
slightly froms gretl's cusum command.
I can't see where the trick is... Any suggestion?
cheers,
artur
null
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On Tue, 17 Aug 2010, artur bala wrote:
I'm trying to do the CUSUM test through separated regressions
but the result differs slightly froms gretl's cusum command. I
can't see where the trick is... Any suggestion?
The gretl code is at
http://gretl.cvs.sourceforge.net/viewvc/gretl/gretl/lib/src/compare.c?vie...
(see the function cusum_compute()).
The algorithm is described by William Greene, Econometric
Analysis, 5e, pp 135-6. Computing the scaled residual is slightly
tricky; see Greene's equation 7-19.
Allin Cottrell
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artur bala