Tests for multiple breaks in time series|| Stata || Structural break
#econometrics #stata
When you fit a time-series regression, you are assuming that the
coefficients that are not interacted with time are constant. -estat
sbcusum- tests that assumption. It bases its result on whether the
time-series abruptly changes in ways not predicted by your model. Said more technically, it tests for structural breaks in the residuals.
estat sbcusum uses the cumulative sum of recursive residuals or the cumulative sum of OLS residuals to determine to test whether there is a structural break. Under the null hypothesis, the cumulative sum of residuals will have mean zero.
The command also graphs the cumulative sum with confidence bands, which allows you to see whether the series behaves as the null hypothesis would predict.