calculate recursive ols with residuals and cusum test statistic
Parameters: | olsresults : instance of RegressionResults
skip : int or None
lamda : float
alpha : {0.95, 0.99}
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Returns: | rresid : array
rparams : array
rypred : array
rresid_standardized : array
rresid_scaled : array
rcusum : array
rcusumci : array
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Notes
It produces same recursive residuals as other version. This version updates the inverse of the X’X matrix and does not require matrix inversion during updating. looks efficient but no timing
Confidence interval in Greene and Brown, Durbin and Evans is the same as in Ploberger after a little bit of algebra.
References
jplv to check formulas, follows Harvey BigJudge 5.5.2b for formula for inverse(X’X) updating Greene section 7.5.2
Brown, R. L., J. Durbin, and J. M. Evans. “Techniques for Testing the Constancy of Regression Relationships over Time.” Journal of the Royal Statistical Society. Series B (Methodological) 37, no. 2 (1975): 149-192.