Grocer Function
NAME
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
r=ols('del(lm1-lp)','lagts(lm1-lp-ly)','del(lp)','rnet','del(lagts(lm1-lp-ly))','cte'); chowtest(r,50)
This example is 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