Re: [Gretl-users] Questions re: Chow tests
I wrote:
I just ran an arbitrary example with the same setup of
regressors as you mention, and "sd_" variables were added for
all 5 independent variables as well as the lagged dependent
variable. If you could send me whatever's needed to replicate
your model, I'll be happy to give it a try. (One possibility
that occurs to me is that, somehow, there might be perfect
collinearity among some of the created variables.)
Ah, but that possibility reveals a bug: if any collinear
auxiliary regressors are dropped in the test regression, the
numerator degrees of freedom for the test will be reported
wrongly. I'm committing a fix for this to gretl CVS.
Allin Cottrell