cusum test for parameter stability based on ols residuals
olsresiduals : ndarray
ddof : int
sup_b : float
pval : float
crit: list :
tested agains R:strucchange
Not clear: Assumption 2 in Ploberger, Kramer assumes that exog x have asymptotically zero mean, x.mean(0) = [1, 0, 0, ..., 0] Is this really necessary? I don’t see how it can affect the test statistic under the null. It does make a difference under the alternative. Also, the asymptotic distribution of test statistic depends on this.
From examples it looks like there is little power for standard cusum if exog (other than constant) have mean zero.
Ploberger, Werner, and Walter Kramer. “The Cusum Test with Ols Residuals.” Econometrica 60, no. 2 (March 1992): 271-285.