Search found 7 matches

by t_schl
Thu Apr 03, 2014 2:29 am
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Hi, just another comment on the Quandt-Andrews test. Regarding the trimming level in the EViews 8 Users Guide II (page 173) it says : [...] To compensate for this behavior, it is generally suggested that the ends of the equation sample not be included in the testing procedure. A standard level for t...
by t_schl
Wed Apr 02, 2014 1:03 pm
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Thank you very much!
Regards,
Thore
by t_schl
Wed Apr 02, 2014 10:05 am
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Hi, I went back to the literature and thought about the scaling of the covariance matrix. This resulted in the following code: for !i = 0 to 177 'first sub-sample coef(23) b1 smpl 1991:10 1995:1+!i equation ea_delta_s_w1.ls d(ea_exrate_us_log) c ea_m1_SA_LOG_d1(-1 to -4) US_M1_SA_LOG_d1(-1 to -4) ea...
by t_schl
Tue Apr 01, 2014 10:34 am
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Hi Gareth, thank you for your assistance. But even after hours of thinking about the problem, I am not able to derive the right result. Could you please go into greater detail of how to scale the covariance matrix? I understood your comment in the following way: I calculated the SE over the full sam...
by t_schl
Sat Mar 29, 2014 12:41 am
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Hi Gareth,
here is the workfile. I hope you can give me a hint here.
Regards,
Thore
by t_schl
Fri Mar 28, 2014 3:38 pm
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Hi again, to be more precise on the above issue: I am trying to re-estimate the build-in EViews Wald-statistic of the Quandt-Andrews test for an unknown breakpoint (or the Chow test). I am able to (re)-estimate the Wald-statistic as described above by including dummies for each regressor for any mod...
by t_schl
Thu Mar 27, 2014 8:32 am
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Hi, I'm struggling with the same issue, but I have AR terms in my model involved. I cannot dummy the AR terms (it gives me an error message) and putting in lagged terms of the dependent variables as regressors won't give me the same Wald-Statistic as the Quandt-Andrews test in EViews. Could you help...

Go to advanced search