www.gusucode.com > econ 案例源码程序 matlab代码 > econ/TestRealGNPModelForStructuralChangeExample.m
%% Plot Recursive Residuals and Critical Lines % Determine whether an explanatory model of real gross national product % (GNP) is stable by plotting recursive residuals. %% % Load the Nelosson-Plosser data set. load Data_NelsonPlosser %% % The time series in the data set contain annual, macroeconomic % measurements from 1860 to 1970. For more details, a list of variables, % and descriptions, enter |Description| in the command line. %% % Several series have missing data. Focus the sample to measurements from % 1915 to 1970. span = (1915 <= dates) & (dates <= 1970); %% % Consider the multiple linear regression model % % $$\texttt{GNPR}_t=\beta_0+\beta_1\texttt{IPI}_t+\beta_2\texttt{E}_t+\beta_3\texttt{WR}_t.$$ % %% % Collect the model variables into a tabular array. Position the % response as the last variable. Mdl = DataTable(span,[4,5,10,1]); %% % Plot the test statistics. cusumtest(Mdl); %% % The cusum series crosses the upper critical line after the % 45th recursive regression, which indicates model instability.