Questions tagged [chow-test]

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

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Logic for testing differences in regression beta weights from a multivariate model

I have several questions regarding the logic of comparing difference scores and using a multivariate model as a means of doing this. To start, let’s say I have a multivariate model whereby I am ...
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Detecting for structural changes in a time series near the end

My interest is to check for structural changes in a time series. I know the time point which I wish to check for structural break. This point happens to be near the end of the series. Also I am doing ...
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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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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 ...
8k views

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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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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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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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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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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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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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. ...