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 _______________________________________________ Gretl-users mailing list Gretl-users(a)ricardo.ecn.wfu.edu http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users