[chow test]can any one answer if there's breakpoint?
Posted: Fri Apr 16, 2010 4:27 am
Besides, what critical value should I compare with the f-statistic to decide? thanks!
==================================================================================================================
Chow Breakpoint Test: 7/02/1997
Null Hypothesis: No breaks at specified breakpoints
Equation Sample: 9/02/1993 3/01/2010
F-statistic 2.234221 Prob. F(3,4297) 0.0822
Log likelihood ratio 6.706794 Prob. Chi-Square(3) 0.0819
Wald Statistic 17.05988 Prob. Chi-Square(3) 0.0007
WARNING: the MA backcasts differ for the original and test equation. Under
the null hypothesis, the impact of this difference vanishes
asymptotically.
==================================================================================================================
Chow Breakpoint Test: 7/02/1997
Null Hypothesis: No breaks at specified breakpoints
Equation Sample: 9/02/1993 3/01/2010
F-statistic 2.234221 Prob. F(3,4297) 0.0822
Log likelihood ratio 6.706794 Prob. Chi-Square(3) 0.0819
Wald Statistic 17.05988 Prob. Chi-Square(3) 0.0007
WARNING: the MA backcasts differ for the original and test equation. Under
the null hypothesis, the impact of this difference vanishes
asymptotically.