I am analysing time series data right now using gretl, and want to test for a structural break, but I am not quite sure how I have to interpret the results.

Let's say I have a wheat price and flour price, and I'm doing a VECM. Without a structural break my ECM is -0.12, so it's correcting 12%. When I do the Chow test, I break the time series in half and I get the coefficients 1: -.115 and 2: -0.072.

Does that mean that in the first half the ECM is correcting with 11.5% and in the second half with 7.2%?

Are the results reliable when only one coefficient is significant?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.