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chowtest

Chow usual test

CALLING SEQUENCE

[resulch]=chowtest(resulols,n1,np)

PARAMETERS

Input

* resulols = results tlist from a first stage estimation

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

* np = 'noprin' if the user does not want to display the results

 

Output

* resulch = a results tlist with:

  - resulch('meth') = chow

  - resulch('rols') = the tlist results from first stage estimation

  - resulch('fstat') = value of the test statistic

  - resulch('f_pvalue') = its p-value

  - resulch('dfnum') = # dof of the numerator

  - resulch('dfden') = # dof of the denominator

  - resulch('cut') = date (if there is a ts in the regression) or index of the observation (if there is no ts in the regression) of the cut

DESCRIPTION

Computes Chow usual test with a break at observation n1. Results are saved in a tlist and 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 6
 
chowtest(rols,50)
// Example taken from function chowtest_d. The Chow test on Hendry and Ericsson equation 6 is provided for a break at observation # 50.

AUTHOR

Eric Dubois 2002

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