<< predfailin Econometric tests and diagnostics recresid >>

Grocer >> Econometric tests and diagnostics > predfailin0

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

Report an issue
<< predfailin Econometric tests and diagnostics recresid >>