Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: chow tests

From   baum <[email protected]>
To   [email protected]
Subject   st: Re: chow tests
Date   Thu, 18 Jul 2002 08:29:53 -0400

--On Thursday, July 18, 2002 2:33 -0400 Scott wrote:

Take a look at the Stata FAQs:

Can you explain Chow tests?

How can I compute the Chow test statistic?

Scott Merryman
However pooling the two datasets and running a 'chow test' may be overkill,
in that it will also impose the assumption of a common error variance across the equations. True, a fully interacted second equation will reproduce OLS point estimates from separate estimations of the two equations, but the VCV, which depends on the sigma-squared estimate, will be different (and thus so will be the inference). This can be dealt with, but IMHO sureg (if feasible) would be a better way to approach this.

Kit *
* For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index