Apr 15, 2017 · I then perform Chow-Test (manually) as described in the Stata-FAQ to compare the estimated averages between both groups. For the following example data (see bottom), I simplify all cycles to be of length of one year and split each cycle into 4 phases, so that we can use the quarters as phases.

May 19, 2024 · I want to perform a chow test to test for differences in regression fundtions across group. However homoskedasticity does not hold. Is there an alternative test (or a modification of Chow) that takes account of heteroskedasticity? For completeness, I am testing the following regression relating to a wage equation:

Nov 29, 2023 · The term Chow test, at least originally, referred to a specific way to test for equality of coefficients across two regressions that was developed in the 1960's. It had the advantage that it could be calculated just from sums of squares, so that it was relatively easy to carry out by hand after inspecting the two regression outputs.

Jul 27, 2017 · Therefore, a Chow Break test for an unknown break date would be suitable in my case. However, I have encountered some difficulties in running the test due to my regression equation. See picture below! Now, I need to identify whether a structural break occurs at an unknown date in LogReturns, which is the dependent variable.

Nov 17, 2014 · You should formally test for the joint significance of the cross-section and time dummies by performing a Chow test (as opposed to manually inspecting the significance of these dummies). You do this by computing an F-statistic using the following formula where your null hypothesis is that all dummies are jointly equal to 0.

Apr 17, 2024 · The above is also taking the potential break year as given. Besides 2001, I would be interested in learning about other years that might better qualify as constituting a structural break. Some in the literature have run so-called "rolling Chow tests," where they then plot a graph of the chi squared values of the chow test across time.

Mar 30, 2017 · Also, both your analysis and the FAQ include the constraint that the constant is the same for both groups. Sometimes Chow tests are done where you relax that constraint. That is, you allow for a dummy for group membership, but constrain the slopes to be the same for the variables in both groups, i.e. no interactions with group membership.

Chow test 06 Jan 2019, 16:33. regress c.Y c.time c.A c.B c.A#c.time c.B#c.time Then i manually group some ...

Jul 26, 2019 · I am checking if there is a simple way to compare two coefficients from xtreg. Take one model as Y1 = aa + b1X1 + dummies + e1 and the other model as Y2 = a2 + b2X1 + dummies + e2, where the X1 is exactly the same in both models, but the Y1 changes slightly to become Y2. I'd like to do a statistical test of whether b1=b2.

Nov 30, 2019 · I want to test if the coefficient of the first regression _b[IV2a] is significantly different from the coefficient of the second regression _b[IV2b]. (For the sake of completeness:IV2 is an interaction term where one of the variables is a dummy variable. I have panel data and cluster by company) My intention was to test if 0=_b[IV2a] - _b[IV2b].