<< chowtest Econometric tests and diagnostics clwest >>

Grocer >> Econometric tests and diagnostics > chowtest0

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

* np= unused argument put for compatibility with other testing functions

 

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 6
 
[fstat,f_pvalue,dfnum,dfden]=chowtest0(rols,50)
//Useful mainly for programming purpose (since chowtest does much more).

AUTHOR

Eric Dubois 2002

Report an issue
<< chowtest Econometric tests and diagnostics clwest >>