Search found 3 matches

by FiliusPublii
Thu Jul 25, 2013 2:12 am
Forum: Estimation
Topic: Paiwise Granger Causality Tests in VAR or VEC
Replies: 10
Views: 21684

Re: Paiwise Granger Causality Tests in VAR or VEC

This thread is easy to google but I still need a bit more explanation concerning this problem, it would be great if you could help me. I am interested in the granger causality between wage and profits and I use gdp as a control variable. The pairwise granger causality test gives me: http://i41.tinyp...
by FiliusPublii
Wed May 22, 2013 5:48 am
Forum: Programming
Topic: Chow test at all possible break points
Replies: 30
Views: 50703

Re: Chow test at all possible break points

Great, thanks so much! In case someone googles this later, the code at the end looked like this: matrix(32, 1) chow !c=-1 for !i=0 to 31 !c=!c+1 %date = @otod(@dtoo("1997:1")+!c) freeze(test{!c})olsmulti.chow {%date} scalar Fvaluechow{!c}=@val(test{!c}(6,5)) chow(!c+1,1) = Fvaluechow{!c} d...
by FiliusPublii
Tue May 21, 2013 8:25 am
Forum: Programming
Topic: Chow test at all possible break points
Replies: 30
Views: 50703

Chow test at all possible break points

Dear all, I'm trying to test a multiple OLS regression for structural breaks at all observation points (first time that google/this forum doesn't help with an answer, hard to find apparently...). My question is very simple: how do I move the observation point for the Chow test one step at time? Say ...

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