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st: Chowreg
From
"Bianca B." <[email protected]>
To
[email protected]
Subject
st: Chowreg
Date
Wed, 9 May 2012 00:22:45 -0700 (PDT)
Dear all,
I'm using CHOWREG module to test structural stability of my
regression model across time. I obtain the following result
F( 13, 3012) = 3.42
Prob > F = 0.0000
==============================================================================
* Structural Change Tests: Y = X + D0 +DX
==============================================================================
Ho: no Structural Change
- Chow Test [K, N-2*K] = 3.4161
P-Value > F(13 , 3012)0.0000
- Fisher Test [N2,(N1-K)] = 1.0637
P-Value > F(532 , 374)0.2362
- Wald Test = 3.5379 P-Value
Chi2(532) 1.0000
- Likelihood Ratio Test = 3.4136 P-Value Chi2(532) 1.0000
- Lagrange Multiplier Test = 3.2950
P-Value Chi2(532) 1.0000
Can I conclude that the regression coefficients are stable
according the Chow test while the null hypothesis cannot be
rejected according the Fisher test?
Thank you all,
Bianca
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