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st: Re: chow tests


From   baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: chow tests
Date   Thu, 18 Jul 2002 08:29:53 -0400

--On Thursday, July 18, 2002 2:33 -0400 Scott wrote:

Take a look at the Stata FAQs:

Can you explain Chow tests?
http://www.stata.com/support/faqs/stat/chow3.html

How can I compute the Chow test statistic?
http://www.stata.com/support/faqs/stat/chow.html

Scott Merryman
However pooling the two datasets and running a 'chow test' may be overkill,
in that it will also impose the assumption of a common error variance across the equations. True, a fully interacted second equation will reproduce OLS point estimates from separate estimations of the two equations, but the VCV, which depends on the sigma-squared estimate, will be different (and thus so will be the inference). This can be dealt with, but IMHO sureg (if feasible) would be a better way to approach this.

Kit *
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