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Hi, I'm facing a similar issue where the LR and Wald test statistics give different breakpoints with different p-values - very significant in the Wald case, when I use the White standard errors (there is mild heteroskedasticity in my equation). I'm wondering though, if I use the White SEs, do the no...

Hi I'm currently using the Bai Perron to test for multiple breaks. It seems to work fine (thanks Eviews!) but unlike say the Chow and Quandt Andrews test, I can't test for a subset of parameters..as far as I know, since it's at click and run without options. Is there a way I can do the subset test? ...

Thanks very much Eviews Glenn!

Hi Madas, Have you figured out why is there a difference yet? I'm also facing a similar problem. I wonder if has to do with the distribution for the test statistics. Plus, for Quandt Andrews, the trimming affects the result, whereas with Chow, all the observations are used. I'm not sure if that's th...

Hi, I have what is probably a basic question, but it's really got me confused. I really hope an eviews expert could provide some clarification. I'm running chow tests for a series of dynamic time series that have dummy variables in them, and I'm interested in ascertaining if instability arises in te...

Hi I would really appreciate it if someone could clarify the following: I have a multivariate regression with lagged dependent variables as regressors. LM test indicates serial correlation. Is the Newey West HAC Covariance Matrix method for standard errors still valid? I was looking at the formula a...

Hi, I have what might seem a rather basic question: I'm testing for serial correlation for several regressions that I've run. I get conflicting results for the F-statistic and chi-square statistic - the latter always more likely to show statistical significance than the former. I understand that sam...

Correction: If I have impulse dummy variables in my equations, the quandt andrews test may or many not work (singular matrix in some instances but not in others). Could someone explain why this happens? I had assumed that both the Chow Break Point and Quandt Andrews tests would drop the impulse dumm...

Hi I'm currently using the Chow Break Point and Quandt Andrews tests to check for breaks in my time series regressions. Some of my regressions are based on Newey West HAC, and some on default standard errors. Some contain dummy variables. I'd just like to seek some clarification: i. Both tests are n...

Thanks Startz! That might be it I think. My equations are with lagged dependent variables, so I'm still "allowed" to proceed with the recursive estimation options. I guess I will the results as "kosher" then.

Hi Glenn, Thanks for your clarification. I think I sort of get what you mean (please excuse my technical ignorance). Just to clarify: Does that mean that despite being able to get the recursive coefficients with my regressions (with AR terms), they are not the accurate nonlinear estimates? Many than...

Hi, thanks for your message. It is the option that follows from stability diagnostics, "Recursive Estimates (OLS only)", and then all 6 options within that tab (Eviews 7.1). I think perhaps the Guide means that it doesn't work for purely ARMA regressions? I tried a univariate ARMA regressi...

Hi, I was using the stability diagnostics to get recursive coefficients for some parsimonious OLS equations that have AR terms (lagged dependent variables) in them. Then I read the Eviews Help Guide, and noticed the statement: "The recursive estimates view is only available for equations estima...

Hello, I wonder if anyone can shed some light on the following: I seem to get conflicting thoughts on whether Newey West HAC Standard Errors can be used in the presence of autocorrelation in a specification that contains lagged values of the dependent variable on the RHS. Some say the correction is ...

Thanks for the clarification. Wishful thinking on my part!