Re: [Gretl-devel] Chow and QLR tests

Date: Fri, 28 Dec 2012 12:58:58 -0500 From: cottrell(a)wfu.edu To: gretl-devel(a)lists.wfu.edu Subject: Re: [Gretl-devel] Chow and QLR tests On Fri, 28 Dec 2012, Sven Schreiber wrote: > On 12/28/2012 05:37 PM, Allin Cottrell wrote: >> A user has pointed out to me that gretl's definition of the break >> point in the Chow and QLR tests is not the majority definition. That >> is, when we do a Chow test with "break at observation tau", the >> dummies we create kick in at tau. This is certainly defensible, but >> the more standard procedure is to make the dummies kick in at tau+1: >> tau is then the last observation of regime 1 rather than the first >> observation of regime 2. >> >> I'm wondering if we should change this (and document it), or maybe >> just document clearly what we do at present. >> >> Any thoughts? >> > > Hi, > > hope you had happy holidays so far! Yes, thanks. I'm now about to leave for Scotland for a couple of weeks. > Without having checked, is it really true that "the majority > definition" has it the other way? What specifically constitutes > that majority? Good question. Maybe I'm jumping to a conclusion here. The only sources I've actually checked so far are Stock and Watson's textbook and the R strucchange package. Allin _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel