Stata 15 help for estat sbknown

[TS] estat sbknown -- Test for a structural break with a known break date

Syntax

estat sbknown, break(time_constant_list) [options]

options Description ------------------------------------------------------------------------- * break(time_constant_list) specify one or more break dates breakvars([varlist][, constant]) specify variables to be included in the test; by default, all coefficients are tested wald request a Wald test; the default lr request an LR test ------------------------------------------------------------------------- * break() is required. You must tsset your data before using estat sbknown; see [TS] tsset.

Menu for estat

Statistics > Postestimation

Description

estat sbknown performs a Wald or a likelihood-ratio (LR) test of whether the coefficients in a time-series regression vary over the periods defined by known break dates.

estat sbknown requires that the current estimation results be from regress or ivregress 2sls.

Options

break(time_constant_list) specifies a list of one or more hypothesized break dates. break() is required with at least one break date.

time_constant_list is a list of one or more time_constant elements specified using dates in Stata internal form (SIF) or human-readable form (HRF) format. If you specify the time_constant_list using HRF, you must use one of the datetime pseudofunctions; see [D] datetime.

breakvars([varlist][, constant]) specifies variables to be included in the test. By default, all the coefficients are tested.

constant specifies that a constant be included in the list of variables to be tested. constant may be specified only if the original model was fit with a constant term.

wald requests that a Wald test be performed. This is the default.

lr requests that an LR test be performed instead of a Wald test.

Examples

Setup . webuse usmacro . regress fedfunds L.fedfunds

Test for a structural break date and divide the data into three subsamples by specifying the break dates at 1970q1 and 1995q1 . estat sbknown, break(tq(1970q1) tq(1995q1))

Stored results

estat sbknown stores the following in r():

Scalars r(chi2) chi-squared test statistic r(p) p-value for chi-squared test r(df) degrees of freedom

Macros r(breakdate) list of break dates r(breakvars) list of variables whose coefficients are included in the test r(test) type of test


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