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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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