Chow test + error message with the Andrews-Quandt test
Posted: Mon Nov 22, 2010 1:11 pm
Hi There,
I am using EViews 7 and I have a question about implementing the Andrews-Quandt test for unknown breakpoint with my own code.
I am following the instructions on the book by Stock & Watson (Introduction to econometrics, 2003 edition). The authors call the “Quandt Likelihood Ratio (QLR) statistic”.
The way I am doing with EViews is:
- Do the 15% trimming
- Run OLS regressions on the subsamples along with the Chow test (I am using a for loop)
- Save the resulting Wald statistics in a series
- Divide the W statistics by the number of restrictions (in my case, 3) to get the F-statistics
- Use the critical values provided by Stock & Watson to decide what is the date of the breakpoint (the date at which the F-statistic is at a maximum – and above the 5% critical level)
My first question is: If I implement the Chow test this way would I get the same results (in terms of the date of the breakpoint) as with Eviews’s Andrews-Quandt test? (Please see my code below)
The reason why I am doing this myself is because I am getting the error message from Eviews when I do the Andrews-Quandt test: “Specification leads to zero or invalid breakpoints". Why would that happen ?
Thanks for your help,
Mara
I am using EViews 7 and I have a question about implementing the Andrews-Quandt test for unknown breakpoint with my own code.
I am following the instructions on the book by Stock & Watson (Introduction to econometrics, 2003 edition). The authors call the “Quandt Likelihood Ratio (QLR) statistic”.
The way I am doing with EViews is:
- Do the 15% trimming
- Run OLS regressions on the subsamples along with the Chow test (I am using a for loop)
- Save the resulting Wald statistics in a series
- Divide the W statistics by the number of restrictions (in my case, 3) to get the F-statistics
- Use the critical values provided by Stock & Watson to decide what is the date of the breakpoint (the date at which the F-statistic is at a maximum – and above the 5% critical level)
My first question is: If I implement the Chow test this way would I get the same results (in terms of the date of the breakpoint) as with Eviews’s Andrews-Quandt test? (Please see my code below)
The reason why I am doing this myself is because I am getting the error message from Eviews when I do the Andrews-Quandt test: “Specification leads to zero or invalid breakpoints". Why would that happen ?
Thanks for your help,
Mara
Code: Select all
smpl 1981Q1 2010Q3
for %pays au ca nz nw
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
' CHOW TEST (my own QLR implemtation)
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
series chow_{%pays}
for !i=18 to 101 '#18 = 1985Q1, #101 = 2005Q4
%obs = @otod(!i)
'least-square regression
equation ols_{%pays}.ls(cov=hac) qss_{%pays} c pln_nonen pln_oil
'obtaining the F-statistic
freeze(mode=overwrite, chowtab) ols_{%pays}.chow %obs
chow_{%pays}(!i) = @val(chowtab(6,2))
next
series chow_f_{%pays} = chow_{%pays} / 3
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
' Andrews-Quandt TEST (EViews' QLR implemtation)
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
'obtaining the F-statistic
'Andrews-Quandt test for unknown breakpoint, 15% trimming
ols_{%pays}.ubreak(wfname = chow_{%pays}_evw) 15
next
delete chowtab