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I generate a chow break point test for a system of equations and keep getting some negative values for my test statistic. Can you tell if there is anything wrong with my code:

'*********************** Systems of equations estimation and testing*********************************************

system hm1
hm1.append lhpr = c(1)*lypdk +c(2)*lreal_stock +c(3)*rm5yr
hm1.append lresk = c(4)+c(5)*lhpr +c(6)* rprime+c(7)*lwager
hm1.append inst lypdk rprime rm5yr lwager
smpl 1982q1 2011q4
hm1.fiml
scalar ssr1= hm1.@ssr(1)
scalar ssr2= hm1.@ssr(2)

'Rolling chow break point test for demand cointegration vector

for !horizon=1 to 79
smpl 1982q1 1985q1+!horizon
hm1.fiml
scalar ssr11a= hm1.@ssr(1)
scalar ssr22a= hm1.@ssr(2)
smpl 1985q1+!horizon+1 2011q4
hm1.fiml
scalar ssr11b= hm1.@ssr(1)
scalar ssr22b= hm1.@ssr(2)
smpl 1985q1+!horizon 1985q1+!horizon
genr chow1 = ((ssr1-ssr11a-ssr11b)/3)/((ssr11a+ssr11b)/(120-6))
genr chow2 = ((ssr2-ssr22a-ssr22b)/4)/((ssr22a+ssr22b)/(120-8))
next
stop

I'm pretty sure that the system objective function estimated with FIML doesn't guarantee positivity of the statistics that you've produced. I don't believe they are valid for the hypothesis you wish to test.

How would you test for structural breaks in such a system?

The simplest would be an LR test.

I'm a novice. Could you elaborate. thanks

http://en.wikipedia.org/wiki/Likelihood-ratio_test

The restricted likelihood comes from the full period specification.
The unrestricted likelihood is the sum of the likelihoods for the two partial period specifications.

Perhaps other will chime in.

Thanks. If you have the time, could you give me the code to calculate the test statistic.