Oh, ok, I missed that.
Thanks!
On Fri, 2011-07-22 at 10:23 -0400, Allin Cottrell wrote:
On Fri, 22 Jul 2011, amaryl wrote:
> I'm running a qlrtest for a structural break in a simpel OLS-regression
> with a constant and two dependend variables. gretl gives me a
> break-date, significant at the one-percent-level, the critical value of
> which is given as 6.02. gretl gives as source of those critical values
> Stock and Watson (2003): Introduction in Econometrics.
> I take it, those asymptotic critical values for a qlr test were
> originally calculated by Andrews (1993) and corrected also by Andrews
> (2003). I just checked with the Andrews (2003) paper and if I read that
> table correctly, the critical value of a qlr test with 15% trimming and
> 3 degrees of freedom is 18.07.
Yes, Andrews is the source for the values given in Stock and
Watson. But the values are consistent. Andrews gives critical
values for chi-square(q) whereas the S&W approach, used in
gretl, is to compute an F-test. The critical values for the
latter are the values given by Andrews divided by q.
Allin Cottrell
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