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CUSUM Test

The CUSUM (Cumulative Sum) and CUSUMSQ (Cumulative Sum of Squares) tests, introduced by Brown, Durbin, and Evans (1975), assess whether the coefficients of a linear regression model remain constant over time. They are standard tools in econometrics for detecting structural breaks, policy shifts, or regime changes in time-series data without requiring prior knowledge of when a break occurs.

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CUSUM / CUSUMSQ Parameter-Stability Test

Taksonomisk metoderegister · hypothesis-test / econometrics

Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B, 37(2), 149–192. · DOI 10.1111/j.2517-6161.1975.tb01532.x

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