how to get the supF test,meanF test and Lc test

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adder000
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Joined: Sun Dec 12, 2010 1:16 am

how to get the supF test,meanF test and Lc test

Postby adder000 » Sun Dec 12, 2010 7:25 am

Dear sir/madam,
Thank you for your attention. I'm writting a paper now (the paper's data is time series), in which the modle should be estimated by the method of FM-OLS, I have got the parameter estimates with FM-OLS in Eviews 7 ,but I don't know how to use Eviews to test for parameter stability (the statistics are supF test,meanF test and Lc test ) in cointegrated relationships based on the residuals of a FM-OLS regression. Thank you very much.
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EViews Glenn
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Re: how to get the supF test,meanF test and Lc test

Postby EViews Glenn » Mon Dec 13, 2010 10:32 am

EViews computes the Lc statistic. Look in the manual for the cointegrating regression chapter, and find the discussion of the Hansen Parameter Instability test. There is an example.
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adder000
Posts: 5
Joined: Sun Dec 12, 2010 1:16 am

Re: how to get the supF test,meanF test and Lc test

Postby adder000 » Tue Dec 14, 2010 8:01 pm

EViews computes the Lc statistic. Look in the manual for the cointegrating regression chapter, and find the discussion of the Hansen Parameter Instability test. There is an example.
Oh,Thanks for your advice, I've got the solution!
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