Cusum of squares (CUSUMQ) critical(significance) lines
Posted: Wed Dec 18, 2024 6:25 am
Hi,
how Eviews is calculating critical(significance) lines in CUSUM of squares test?
I checked the references from Eview's Guide: https://eviews.com/help/helpintro.html# ... 23ww183726, i.e Brown, Durbin, and Evans (1975) or Johnston and DiNardo (1997, Table D.
for a table of significance lines for the CUSUM of squares test, but Eviews results are different from the referenced tables.
Anybody know proper formula for calculating critical(significance) lines in CUSUM of squares test?
Thank in advance!
how Eviews is calculating critical(significance) lines in CUSUM of squares test?
I checked the references from Eview's Guide: https://eviews.com/help/helpintro.html# ... 23ww183726, i.e Brown, Durbin, and Evans (1975) or Johnston and DiNardo (1997, Table D.
for a table of significance lines for the CUSUM of squares test, but Eviews results are different from the referenced tables.Anybody know proper formula for calculating critical(significance) lines in CUSUM of squares test?
Thank in advance!