I have used Stata to run a time series multiple regression. I know that there is in fact a structural break in the data and the point at which it occurs; therefore, I have estimated the regression over two different periods (one before the break and one after).

My question is;how do I prove (statistically) that there is a structural break in the data that requires this to be split up? Would this require an F test? If so, what are the steps to accomplish this in Stata?

  • $\begingroup$ Try searching chow test, unobserved components model(ucm) is a great alternative as a ell,SAS has an option to do automation level shift detection within ucm I'm not sure if stata has this option, $\endgroup$ – forecaster Jul 29 '15 at 13:42

As you guessed, you just need a Wald test. You can approach this problem in different ways: you can run multiple regressions on the split and combined samples and compute the test statistic by hand; or you can just use interaction and conduct a joint test for significance.

For details on how to implement this in Stata please refer to http://www.stata.com/support/faqs/statistics/computing-chow-statistic/ and http://www.stata.com/support/faqs/statistics/chow-tests/

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