Hot answers tagged chow-test
3
Your question is most interesting to me and it's solution has been my primary research for a number of years.
There are a number of ways that "a structural break" may occur.
If there is a change in the Intercept or a change in Trend in "the latter portion of the time series" then one would be better suited to perform Intervention Detection (N.B. this is ...
2
Using the suggested corrected data we have:
The model to be tested is : Y(T)=B0 + B1*X(T) + A(T)
The null hypothesis is that the set B0 and B1 are the same over the two states
step 1 : Estimate this for STATE1 obtaining an error sum of squares SOS1 =.789
step 2 : Estimate this for STATE2 obtaining an error sum of squares SOS2 = 548.272
step 3 : Estimate ...
1
You could go ahead and just add all these "alternatives" giving you a single vector. It tells you nothing about the interaction of those terms but if you are just looking into wether there was a structural break because of different investments it should suffice (as long as you have data for all alternatives, that is).
Otherwise you'd probably have to use ...
Only top voted, non community-wiki answers of a minimum length are eligible
