Name

chowtest0 — Chow usual test

CALLING SEQUENCE

[fstat,f_pvalue,dfnum,dfden]=chowtest0(resulols,n1,np)

PARAMETERS

Input

• resulols = a results tlist from a first stage estimation

• n1 = # of observations of the first sub-period

Output

• fstat = value of the test statistic

• f_pvalue = its p-value

• dfnum = # dof of the numerator

• dfden = # dof of the denominator

DESCRIPTION

Computes Chow usual test with a break at observation n1. Results are saved as numbers and not displayed on screen.

EXAMPLE


load(GROCERDIR+'data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
//performs ols for Hendry and Ericsson (1991) equation n° 6 
[fstat,f_pvalue,dfnum,dfden]=chowtest0(rols,50)
 
//Useful mainly for programming purpose (since chowtest does much more). 

               

AUTHOR

Eric Dubois 2002