Quandt-Andrews Eview7

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mscarlatos
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Joined: Fri Apr 24, 2009 9:23 am

Quandt-Andrews Eview7

Postby mscarlatos » Fri Apr 09, 2010 8:17 am

Should it be expected in running a QA endogenous breakpoint test, assuming Newey-West Heterskedastic Consistent Covariance under the equations options regression, that only an LR F statistic is generated and not a Wald Statistic? I can see a button for the Wald Estimate but I cannot access it. Does imposing Newey-West foreclose estimation of a Wald Stat?
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Quandt-Andrews Eview7

Postby EViews Gareth » Fri Apr 09, 2010 8:34 am

Yes, due to the way that the Quandt-Andrews is calculated internally, we do not report a Wald statistic for the Quandt-Andrews test when you have HAC standard errors.
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