Questions tagged [chow-test]

The Chow test is a test for parameter stability between time periods or different groups.

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Panel data and Chow test?

I have the following question, which I want to understand if it makes sense from econometric perspective. The idea is to run a model and see if the excess return of stocks are related to the ESG ...
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Interpreting results from OLS breakpoint test with dummy variables

I have estimated a regression and found a breakpoint using chow: Then I created a dummy variable which is 0 before the break and 1 from the break until the end. This is the result: I was assuming ...
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Is a least squares linear model useless if it has significant breakpoints?

My professor gave me some data to study basic econometrics and I'm trying to develop the best model possible to fit financial returns of a company based on two different stock indexes (one from the ...
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Basic question about dummy variables for breakpoint treatment

I am studying basic Econometrics and trying to understand how to deal with breakpoints using dummy variables. I found 3 significant break-points in my data (using 5% confidence) with the Chow ...
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Chow test results interpretation

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 ...
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can I use chow test

I have a question about chow test. Thanks in advance. I have read a lot about chow test to know that it is most frequently used in structural change dataset. The full dataset was split into two ...
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How to improve on the preferred regression model?

After running the chow test, the F stat shows structural change is present in the model, so the unrestricted models are preferred. I am not sure how I can choose from the two regression models in the ...
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Diagnostic test to test for change in regressor

In the previous part of this question, I worked out there is a structural change in the Chow test as 5.04> 2.1 (Fc) hence H0 is rejected and the restriction does not hold. In the next part of the ...
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Chow breakpoint test for all series points

How appropriate would be, if you perform Chow breakpoint test for all points within series (without the very beginning and very ending), then find out where test suggest possible breakpoints (e.g. ...
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Hypothesis testing for a known parameter value vs. for an estimated parameter value

I will motivate this question with 2 examples: Cointegration coefficient known vs. unknown The expectations theory of the term structure of interest rates establishes that the cointegration ...
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64 views

Alternative to Chow test in the case of heavy tailed residual distribution

I would like to check if two subpopulations of my data have the same parameters in a model. Model 1 is based on subpopulation 1 and Model 2 is based on subpopulation 2. Model 1: $y=x^\alpha + \...
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Comparing similarity Time Series

I have a collection of time series data. The data is structured (Country, Year, Value). ~50 countries and ~30 data points for each country Is there a way to cluster time series? Time intervals are ...
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266 views

Comparing the regression coefficients of two time periods using unbalanced panel data and a fixed effects model

I'm currently trying to investigate how investors change their asset allocation due to liquidity risk and if their behaviour has changed since the financial crisis. My data contains the asset ...
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229 views

Is a Chow test appropriate for this intervention analysis?

I am fairly new to R was wondering if this approach was appropriate. Sorry if I forget anything in my question. I have long-form panel data for 15 years (2001-2015) for hundreds of counties and ...
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What GARCH model to use when identifying structural breaks in exchange rate?

I'm trying to test if a specific country's president's unexpected statements create a structural break in the exchange rate series (dollar). I decided on what to do in what order but I'm having a ...
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Chow test and follow up

I am investigating if the sentiments of Facebook posts of politicians change before and after the election date. My dataset consists of around 50 politicians and their posts and I ran a sentiment ...
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1k views

perform chow test on time series

I am currently writing on my master thesis, therefore i have to find out if a specific moment had an impact on a time series. By just looking at the plot I would say that after the prize reached his ...
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How to use a chow test for two subsamples

I want to investigate whether post-crisis saving levels are the same as pre-crisis. I understand how I can perform the chow test for two subsamples, but how does it work for three? In other words, I ...
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138 views

Can I modify the Chow Statistic for use with ARIMAx models?

I'm trying to come up with a test for parameter constancy that's general enough to use for both OLS models and ARIMAx models. In all cases, we have non-stochastic exogenous variables. Here's the chow ...
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Chow Test and Structural Breaks

I am an economics student and we are tasked to make a mini thesis. I was thinking in getting smoking demand determinants and the effect of sin tax (excise tax on tobacco here in the Philippines and ...
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115 views

What is the number of parameters when modeling a structural break?

Lets assume that we have a data set with a structural break at some point $x$. This can be tested using the Chow test. To build a model that takes this break into account, I stimate two linear ...
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119 views

Does the Chow test require the independent variables to be uncorrelated?

The Chow test evaluates if the coefficients in two linear regressions on different data sets are equal. If two independent variables of the data sets are highly correlated, is the chow test still ...
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How to test if coefficients of two linear regressions differ in practice?

The Chow test is often suggested to test if the coefficients of two linear regressions differ or if a single linear regressions is more appropriate. However, Chow test assumes equality of the ...
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How should I interpret a significant break in an insignificant independent variable?

I have got a OLS on overweight with year and excise on sugar as independent variables. Excise isn't significant in this regression, but if I do a Chow breakpoint test on my data (for the year the ...
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Mann-Whitney-U-Test as a replacement for Chow-Test?

The Chow-Test tests if there is a significant difference between a pair of regression equations under the null hypothesis the two models are equivalent. My idea is to use the Mann-Whitney-U-Test to ...
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867 views

Testing for Partial Structural Break in R

I want to test for a partial unknown structural break in a time series. By this I mean that I want to test $H_0: \beta_{1} = \beta_{2}$ such that $Y_t = \beta_{0}^{'}X_t + \beta_{1}^{'}Z_t(t<T) + \...
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558 views

Is there a Chow test for higher dimensions?

With the original Chow test, you can only test two regressions vs a general one to see a structural change. Is there a Chow test that can test structural change in 3,4...N regressions for structural ...
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Chow Structural Test in R [duplicate]

I am sitting on a pile of data concerning wages at a local company and other information, such as the gender, whether the person in question belongs to a minority group etc. What I would like to ...
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142 views

On which side resides the rejection area of a Chow test?

I know Chow test, it computes a test statistic, and the test statistic follows F distribution, but I don't know on which side does the null hypothesis reject.
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Alternative to Chow test for equality of estimates, when the data for the 1st group is not available

My goal is to compare published regression weights estimated from a sample in another country, with those of the same model established on our data.There is ample evidence on the web that a Chow test ...
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997 views

How to do 1-step Chow test?

Has anyone heard of 1-step Chow test? I've searched the keyword "1-step chow test" in Google but can not find any hits. What's the formula of this test?
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Question about Chow forecast test

I would like to check my understanding of the Chow Forecast test.The test is used to perform a test on the following models: $y_1=\beta X+\epsilon_1$ and $y_2=\beta X+ \nu + \epsilon_2$, with $H_0:\nu=...
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Why is the Chow test with $R^2$ wrong?

The regular way to compute the F-value for a Chow forecast test is: $$F=\frac{(e_R'e_R-e_1'e_1)/g}{e_1'e_1/(n-k)}$$ My professor said something today about that a Chow forecast test using $R^2$ would ...
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Compare coefficients across groups in panel data set

I want to test for differences in (regression) coefficients across two groups. I understand, that this is possible by including interaction terms and performing a Chow-Test. But what do you do if ...
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Stationarity and homoscedasticity in break tests

Let me start by saying that I'm really not an expert in statistics/econometrics. Now to my questions: I have a data set containing weekly prices of a stock. I want to check whether a structural break ...
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898 views

How to tell if the relationship between time series variables changes over time?

Lets start out by saying that I'm a novice with statistics. I'm looking to analyze the relationship between Return on Sales (ROS) and Asset Turnover (TAT) over time to see how they impact firm ...
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425 views

Chow's test and serially correlated model errors

how can one handle a time series with the Chow's test (in order to find a structural break) so that the assumption of independent model errors holds? I'm using the R function chow.test {gap}
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Chow test multiple variables

great site! I have collected monthly deals data for how new ships are being finance from 2005-2012. The data consists of "deals" made by different shipping companies and the amount raised in each ...
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591 views

Strange results from Chow test - surprisingly significant p-value

I have a set of data, sampled once per year from 1990 to 2008. It looks more or less linear. However, doing a Chow test results in a significant p-value (0.003 and below), wherever I test for a ...
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How to identify structural change using a Chow test on Eviews?

I have this little problem and I would appreciate some help. As part of my master thesis, I have to identify a trend in a univariate (GDP) time series for different countries. I have to separate the ...
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Identifying structural breaks in regression with Chow test

I have some problems in using (and finding) the Chow test for structural breaks in a regression analysis using R. I want to find out if there are some structural changes including another variable (...
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How to do Chow test for constancy of parameters across 2 groups

I am a beginner in statistics and poor in mathematics. I am trying to to assess effect of intervention in one state versus another using annual data. ...
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2k views

Chow test or not?

I am trying to set up an automatic screen to detect structural breaks in large numbers of time series. The time series are weekly and represent behaviour of customers. I have set up a Chow test. I ...
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What to do with negative Chow test?

I have just done a Chow test on a regression in order to see whether there is a structural break. I am a bit stumped however as my Chow test returns a negative number. Now what do I do? More ...