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Dear all,

I'm trying to test a multiple OLS regression for structural breaks at all observation points (first time that google/this forum doesn't help with an answer, hard to find apparently...).

My question is very simple: how do I move the observation point for the Chow test one step at time? Say my sample starts at 1992:2 (quarterly), I want to do something like this:
I just get error messages here, I don't know how to tell eviews to go to 1992:3 then 1992:4 1993:1 etc. The command is problematic because in the chow test, the @ is reserved for subsets of regressors so I just get normal OLS equation if I do that, not a test result...

If you help me with this, collecting the results into a matrix will be fine. I just want to find my breakpoint with Chow... ;-)

Any help would be appreciated!
Filius Publii

Probably something like: I should point out that you might want to just use the built in quandt-andrews test instead...

Great, thanks so much!

In case someone googles this later, the code at the end looked like this:
which I am sure can be done more elegantly but it works... ;-)

I know that there are tests for unknown break dates but this is what I was asked to do. I'll try some others as well to see if they give the same result. I'm guessing that in a sample of, say, 40 different break dates my loop above will (at a 95% confidence interval) already produce two wrong results so I do see the point.

All the best,
Filius Publii

Dear Mr. Gareth,
I am so sorry to bother you, i am beginner with programming in Eviews..i just want to ask for your suggestion about how to plot the sequence of Chow statistics as a function of candidate break dates.. i was trying to follow your comments about that in some forums but it was unsuccessful..
the data is a monthly time series from March 1947 to April 2001..(650 observations)
the variable series01 is the growth rate of ratio of the Industrial Production index for manufacturing/durables to average weekly labor hours (Hansen's paper 2001)..is AR(1) process

the codes that I am using are below:

'Open a workfile
wfopen hol
smpl 1947m3 2001m4
'-----------------------------
%dep="" 'variable to store name of dependent variable
%regs= "c" ' variable to store list of regressors. Default is "c" for a constant
'%sample="@all" 'variable used to store sample. Default is "@all" for entire workfile
!doCovs=0 ' variable used to store choice of whether to display covariance options
!CovChoice=0' variable specify choice of covariance matrix.
!result=0 ' variable that will track the result of dialogs. -1indicates user hit cancel. 0 indicates user hit ok
%CovList="Default White HAC" ' list of covariance types for use in covariance dialog
%CovOpt="" 'cov option string

!result=@uidialog("edit",%dep,"Enter the dependent variable","edit",%regs,"Enter the list of regressors","edit", %sample,"Enter the equation sample","check",!doCovs,"View covariance options?") 'put up dialog
if !result=-1 then 'if user cancelled, then stop program
stop
endif

if !doCovs=1 then 'user indicates that wishes to view the covariance dialog, 0 otherwise
!result=@uilist(!CovChoice, "Covariance options", %CovList) 'put up dialog
if !result=-1 then
stop
endif

if !CovChoice =2 then
%CovOpt="cov=white"
else if !CovChoice =3 then
%CovOpt="cov=hac"
endif
endif
endif

'smpl{%sample} 'set the sample
'create a vector to store chow test
vector(54) chow
equation eq1.ls({%CovOpt}) {%dep} {%regs} 'estimate equation.
for !i=1947m3 to 2001m4 [THIS IS THE PROBLEM, is not well defined]
eq1.chow {!i}
next


'Chow test, the break date is known a priori
freeze(t1) eq1.chow 1973 'fail to find evidence of structural break(5% critical value from chi-squared distribution is 6)
freeze(t2) eq1.chow 1975 'exceeds 5% critical value, provides evidence of structural break.

'Andrews-Quandt TEST for unknown breakpoint, 15% trimming
freeze(QuandtAndrewstab) eq1.ubreak 15


'------------------------------
some trying in order to estimate breakpoints

'smpl 1947m1 1982m12
'equation eq1_1.ls series01 c series01(-1)

'smpl 1983m1 2001m4
'equation eq1_2.ls series01 c series01(-1)

'matrix wald= @transpose(@identity(eq1.@ncoef)*(eq1_1.@coefs-eq1_2.'@coefs))*@inverse(eq1_1.@cov/(eq1_1.@se)^2+eq1_2.@cov/(eq1_2.@se)^2)'*@identity(eq1.ncoef)*(eq1_1.@coefs -eq1_2.@coefs)
'wald= wald*(eq1.@regobs -2*eq1.@ncoef)/(eq1_1.@ssr +eq1_2.@ssr)

'Store coefficients into matrix
'colplace(coefmat,eq1_1@coefs)
'colplace(coefmat,eq1_2@coefs)

In the last part I was trying to estimate the break(unknown a priori) but i do not know how..
and additionally how can I construct a for loop for more than one break?
please kindly help me,
thank you very much in advance,
Best regards,

I'm not sure I follow.

trying to improve the first part:
vector(650) chow 'create a vector to store chow test
equation eq1.ls({%CovOpt}) {%dep} {%regs} 'estimate equation.
!c=-1
for !i=0 to 650
!c=!c+1
%date=@otod(@dtoo("1947m03")+!c)
freeze(test{!c})eq1.chow {%date}
scalar Fvaluechow{!c}=@val(test{!c}(3,2))
chow(!c+1,1)= Fvaluechow{!c}
delete test{!c}
delete Fvaluechow{!c}
next

but when i run that i get the following error: 1947m03 is outside the equation's sample range in "FREEZE(TEST0)EQ1.CHOW 1947M03".

That means you've tried to test a date that wasn't in the original equation's sample.

thank you very much for your help!!!!.. :D
i have now the following error:
@GRAD is not a Genr or series expression function in "@GRAD(1)ˆ2" in "DO_EQ1.WHITE"

equation eq1.ls({%CovOpt}) {%dep} {%regs}
eq1.white

Is your copy of EViews up to date?

I'm using Eviews 8 :)

Is it up to date?

thanks!!!...sorry for bother you but how can I store the Estimated break dates from Bai-Perron.. it is very easy to obtain it by clicking (Views/stabilityDiagnostics/multiple Breakpoint Test......Test specification: Method: Global information criteria)but how can I obtain it programming.. i was trying to store the SSRs in order to perform all the procedure like below but i get an error

wfopen data
vector(646) SSR 'create a vector to store SSR
for !i=1 to 645
%date=@otod(@dtoo("1947m05")+!i)
smpl 1947m03 1947m03+!i+1
equation eq1{!i}.ls series01 c AR(1)
freeze(tab{!i})eq1{!i}.@ssr {%date}
scalar valueSSR{!i}=@value(tab{!i}(15,2))
SSR(!i+1)=valueSSR{!i}
delete tab{!i}
delete valueSSR{!i}
next

error: 1947M06 is not defined in "FREEZE(TAB1) EQ11.@SSR 1947M06"
Do you know maybe how to obtain the break date in an easy way?? thank you very much

eq.breakspec

it shows an error message with the following text "Not available with this estimation model" :(

Sorry, I thought you were doing breakpoint estimation, not testing.

You want equation.breaktest