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predfailin0

Chow predictive failure test

CALLING SEQUENCE

[fstat,f_pvalue,dfnum,dfden]=predfailin0(res,n1,np)

PARAMETERS

Input

• resulols = a results tlist from a first stage estimation

• n1 = # of observations of the 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 in-sample Chow predictive failure test. Results are stored as numbers and are not displayed on screen.

EXAMPLE

bounds('1964q3','1989q2')
// column HE in table 9 of Hendry and Krozlig paper
rols=ols('delts(lm1-lp)','lagts(lm1-lp-ly)','delts(lp)','rnet','delts(lagts(lm1-lp-ly))','cte')
[fstat,f_pvalue,dfnum,dfden]=predfailin0(rols,50)
 
//Useful mainly for programming purpose (since jbnorm does much more).

AUTHOR

Eric Dubois 2002

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