> Date: Fri, 28 Dec 2012 12:58:58 -0500
> From: cottrell@wfu.edu
> To: gretl-devel@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
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