Reference variable for 'estat sbcusum'?

[Steven Seip]

For my project I am using the command "estat sbcusum" to carry out a cusum test. Before, I use regress to regress my variable to the variable I want to use as a reference. This for example may be a lagged version of the first variable (52 weeks earlier). I am not sure if I'm doing it right though. Can you tell me exactly which cumulative sum the command estat sbcusum uses after I run the regression? I noticed, that it is not the difference between the two variables.

[Marcos Almeida]

Welcome to the Stata Forum/Statalist,

If you didn't read it yet, perhaps you wish to take a look at this text. Also, this one.

[Steven Seip]

Hello Marcos,

thank you for the links. I have read both of those texts, but i do not quite understand what stata does with the previously performed regression.
So if I use

reg var L52.var
estat sbcusum

which residuals will stata cumulate for the test?

Thank you,
Steven

[Marcos Almeida]

From the text shared in #2:

stat 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

[Steven Seip]

Thank you Marcos. I still do not understand with what exactly I am dealing with the regression. Maybe you can help me if I rephrase my question.

How can I compute a CUSUM-Test of a variable with another variable as a reference?

So for example use the cumulative sum of the difference between "var" and "L52.var". Another use would be between "var" and a linear prediction. So if var consists of four years and I want to compute a linear prediction with data of the first three and then compute the CUSUM-Test for the last year.

Best regards,
Steven

[Marcos Almeida]

As far as I'm concerned, you have two possibilities, as demonstrated in the Stata Manual. For OLS, we have the cumulative sum of OLS residuals. For recursive models, such as when we use lags, we get the cumulative sum of recursive residuals. Therefore, what we get depends on the command we type. Hopefully you'll get further help.