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st: AW: Tiao-Goldberger test

From   "Martin Weiss" <>
To   <>
Subject   st: AW: Tiao-Goldberger test
Date   Mon, 16 Feb 2009 16:37:13 +0100


Why do you start a new thread just to say "thank you"? This kind of behavior
hurts the quality of the archive...


-----Ursprüngliche Nachricht-----
[] Im Auftrag von Michael
Gesendet: Montag, 16. Februar 2009 16:22
Betreff: st: Tiao-Goldberger test

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,


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