Does anyone know where
I can get R code for plotting
the Brown , Durbin
and Evans cumsum
procedure ( 1975 ) ?
I wrote my own code but
I am a little worried
that my confiodence bands
may not be correct ( I find the formula
in the original paper confusing and S+Finmetrics
has a formula but that formula implies that
there should be 4 lines as far as I can tell ) so
I would like to see someone
else's code also if it's out
there ? Thanks.
Mark
P.S : Strucchange looks like a great package but
it would take me way longer than I
have to only partially understand the theory behind
what is going on there.
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