Quandt-Andrews test
Posted: Tue Mar 30, 2010 7:58 pm
I have performed Quandt-Andrews test using Eviews 6 (after downloading the patch available from your website).
My question relates to EXP Wald F statistics. I would expect that higher test statistic values are associated with lower Prob. values. In the tests I have done it is not always the case. For example, one regression gives me the test statistic value of 38.55 and Prob. of 1.0; a different regression (different dependant variable & regressors) gives me the test statistic value of 28.40 and Prob. of 0.01.
It is possible that some of the series I have “misbehave” or that EViews does not calculate the Prob values correctly. I would like to know whether anyone else reported this issue and, if this is an EViews issue, whether it has been fixed in version 7.
My question relates to EXP Wald F statistics. I would expect that higher test statistic values are associated with lower Prob. values. In the tests I have done it is not always the case. For example, one regression gives me the test statistic value of 38.55 and Prob. of 1.0; a different regression (different dependant variable & regressors) gives me the test statistic value of 28.40 and Prob. of 0.01.
It is possible that some of the series I have “misbehave” or that EViews does not calculate the Prob values correctly. I would like to know whether anyone else reported this issue and, if this is an EViews issue, whether it has been fixed in version 7.