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st: Re: rolling chow test


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: rolling chow test
Date   Thu, 22 Nov 2007 09:42:35 -0500

What you need to do, within your 'wrapper' program, is to save both the sum of the coefficients and their standard error (or the p-value of the test statistic from lincom) in the -rolling- sample. Of course you cannot use -test- after running -rolling-: -rolling- creates a new dataset, each observation of which corresponds to one of the windows. What would you test? You should be generating a test statistic for each period (that is, the sum of the coefficients, the standard error of that quantity, their ratio and the p-value of that ratio vs an appropriate t distribution).

Happy Thanksgiving-
Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Nov 21, 2007, at 2:33 AM, statalist-digest wrote:


Thank you, Kit for your answer.

I succeeded in getting the sum of the coefficients. But if I want to use any
command as e.g. "test" I receive error r(301), last estimates not found.
What can I do?

Thanks again,
Nadine



- -----Ursprungliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]Im Auftrag von Kit Baum
Gesendet: Dienstag, 20. November 2007 00:50
An: statalist@hsphsun2.harvard.edu
Betreff: st: re: rolling chow test


Nadine wants to know how to do a rolling chow test. My response to
Bethany in July covered this topic:

ttp://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/
statalist.0707/date/article-556.html
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