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st: Tiao-Goldberger test


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Tiao-Goldberger test
Date   Fri, 13 Feb 2009 08:31:25 -0500

<>
This is a rather obscure reference, developed in a 1962 working paper from Univ. of Wisconsin, and apparently widely used in the real estate literature (if unknown elsewhere). My friend Keith Schwer of UNLV (Las Vegas) has used it in published work. A downloadable copy of one of his articles in the J. Real Estate Research details the test, which

"is employed to examine differences between the two models." It can be used to examine differences between L models in particular coefficients. It appears to be a straightforward manipulation of coefficients, their covariance matrix and sums of squares from two or more OLS regressions. I have placed a PDF with the relevant pages on

http://fmwww.bc.edu/cfb/stata/Tiao-Goldberger.pdf

for those interested. It would be quite simple to program as an ado- file in Stata.

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


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