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Chow and Cross Sectional Regression
Posted: Mon Jun 21, 2010 4:25 pm
by mscarlatos
Does Eviews 6 permit cross sectional Chow tests? I have time series for 7 countries with a LHS and 4 RHS variables. I would like to run a CHow on 3 of the 7 and the same on the remaining 4 of seven. If so, could you tell me what tabs I look for?
Re: Chow and Cross Sectional Regression
Posted: Mon Jun 21, 2010 4:38 pm
by EViews Gareth
Not 100% certain I follow what you're asking here. You seem to be saying that you have a panel workfile, and you want to test whether the coefficients are the same for three of the cross-sections? The only way to do this is manually with dummy variables (for a Wald test), or by estimating two equations for the LR statistic.
Re: Chow and Cross Sectional Regression
Posted: Wed Jun 23, 2010 6:19 am
by mscarlatos
Thank you. If I do a panel regression on one of my three panels and get the panel regression parameters and other output, does Eviews6 permit stability tests such as Chow or QuandtAndrews, on those coefficients?
Re: Chow and Cross Sectional Regression
Posted: Wed Jun 23, 2010 8:07 am
by EViews Gareth
No, stability tests are not available for panel equations.
Re: Chow and Cross Sectional Regression
Posted: Thu Jun 24, 2010 11:05 am
by mscarlatos
Would that be because Eviews does not do them or because they are not to be done econometrically? If it is an Eviews characteristic, I guess I can manually generate my relevant Chow F stat by breaking each panel into two (before and after a suspected breakpoint), running a fixed effects regression and simply plugging in the residual sum of squares for the overall panel and the subpanels into the Chpw F formula. Does this seem reasonable?