Grocer Function
NAME
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
predfailin(r,50)
This example is 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