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predfailin

Chow predictive failure test

CALLING SEQUENCE

[resulch]=predfailin(resulols,n1)

PARAMETERS

Input

* resulols = a results tlist from a first stage estimation

* n1 = # of observations of the sub-period

 

Output

* resulch = a results tlist with:

  - resulch('meth') = predfail

  - 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 break

DESCRIPTION

Computes in-sample Chow predictive failure test. Results are stored in a tlist and displayed on screen if the user has not given as second argument 'noprint'.

EXAMPLE

load(GROCERDIR+'/data/bdhenderic.dat') ;
 
bounds('1964q3','1989q2')
// column HE in table 9 of Hendry and Krozlig paper
r=ols('delts(lm1-lp)','lagts(lm1-lp-ly)','delts(lp)','rnet','delts(lagts(lm1-lp-ly))','cte')
 
predfailin(r,50)
// Example taken from predfailin_d. The example provides the predictive failure test with a break at observation # 50
// for Hendry and Ericsson equation # 6, whose results have been stored in tlist r.

AUTHOR

Eric Dubois 2002

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