Dear all, Does anyone know where there is R or S code for the CUSUM SQUARED structural breaks approach? (Brown, Durban and Evans, 1975 - used in Pesaran and Timmerman, 2002)
The problem is that the breaks package only appears to offer the standard 'unsquared' CUSUM, even though it appears most think it is inferior to the squared version. It might appear to be a relatively simple problem - just use the recursive residuals function, square them and then take the cumulative sum. But the problem is that the normalisation and calculation of confidence levels is completely different. Any help or pointers about where to look would be more than appreciated! Hopefully I have just missed obvious something in the package... Many thanks, Rick R. ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
