Page 2 of 3

Re: Quandt-Andrews Test Error

Posted: Wed Feb 20, 2013 8:25 am
by kevinliberty
FYI I am receiving the same data error for the sample date range in the Chow Breakpoint Test.

Re: Quandt-Andrews Test Error

Posted: Wed Feb 20, 2013 8:26 am
by kevinliberty
They both have HAC errors.

Re: Quandt-Andrews Test Error

Posted: Wed Feb 20, 2013 8:45 am
by EViews Gareth
EViews 6 had a bug in it that meant it didn't calculate the Quandt Andrews test with HAC errors correctly. EViews 7 does.

Re: Quandt-Andrews Test Error

Posted: Wed Feb 20, 2013 9:17 am
by kevinliberty
As a hypothetical, if I was running EViews 6 and I was using the probability of a the Quandt-Andrews Breakpoint Test w/ HAC errors as the determining factor of my sample data range then the probability that was being reported in EViews 6 would not be accurate?

So in my previous example the QA Breakpoint Test determined the the probability of the largest value was 13.44626 with a Prob of .13333. That probability value is inaccurate?

Re: Quandt-Andrews Test Error

Posted: Wed Feb 20, 2013 9:18 am
by EViews Gareth
Right.

Re: Quandt-Andrews Test Error

Posted: Wed Feb 20, 2013 9:51 am
by kevinliberty
Okay thanks,

Can you let me know when the Chow Breakpoint Test bug is fixed as well?

Re: Quandt-Andrews Test Error

Posted: Wed Feb 20, 2013 9:52 am
by EViews Gareth
With the EViews 8 release, EViews 7 patches are reducing in frequency. Probably won't be for a while.

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 7:43 am
by kevinliberty
Is there a way to retrieve the df1, and df2 for the QA breakpoint test?

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 9:02 am
by EViews Gareth
What do you mean by DF1 and DF2?

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 9:29 am
by kevinliberty
Normally with an F-stat test there are 2 different degrees of freedom associated with the F-stat test value and the resulting probability.

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 9:38 am
by EViews Gareth
Correct, but the Quandt-Andrews test performs many F-tests.

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 10:54 am
by kevinliberty
Okay so is there a way to retrieve the degrees of freedom for the specific date that is referenced in the QA test results?

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 11:01 am
by EViews Gareth
No, they aren't calculated/used.

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 11:11 am
by kevinliberty
How is the p-value found for the F-stat value found then?

Re: Quandt-Andrews Test Error

Posted: Thu Feb 21, 2013 11:13 am
by EViews Gareth
As mentioned on the output:

Code: Select all

Note: probabilities calculated using Hansen's (1997) method
The User Guide has more details.