Plot the CUSUM of squares statistic and significance bounds.
Parameters: | alpha : float, optional
legend_loc : string, optional
fig : Matplotlib Figure instance, optional
figsize : tuple, optional
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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 [R47].
References
[R46] | 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. |
[R47] | (1, 2) 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. |