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st: Tiao-Goldberger test


From   Michael Stobernack <stobernack@fh-brandenburg.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Tiao-Goldberger test
Date   Mon, 16 Feb 2009 16:21:44 +0100

Thank you very much to Kit Baum.
It doesn't seem to be common to use the Tiao-Goldberger-test in order to test the equality of individual regression coefficients of four different subsamples. Of course, one can use the Chow-test, but this test doesn't offer which of the coefficients differ. Another possibility could be to incorporate dummy variables and interaction terms for the different groups of interest. Since I have got four different groups I need three dummies and many interactions terms, so I loose (to) many degrees of freedom (n=50).

Thank you very much again and sorry for not to mention that I did use findit without finding anything about Tiao-Goldberger.

Best regards,

Michael

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