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Am 26.06.2019 um 17:01 schrieb Marcelo Duarte:
>
> I have tried upgrading and downgrading gretl and the same keeps
happening.
> When I run the Chow test, a new window opens with the augmented
model,
> but in neither appears the statistics and p-value.
> The model I'm working on contains lagged independent variables, and,
> just to get that idea out of my head, I've tried to run it without the
> laggs: It appeared.
>
If you can reproduce it, please specify a concrete example, ideally with
one of the example data files, or if it is a small dataset you can also
attach it (I think). Be very specific what model you estimate.
(And I guess you mean lagged dependent, not independent? I _thought_ I
just saw a case where I had this problem, but then I couldn't reproduce
it.)
I'm sorry but I can't seem to find a database somewhat similar to mine on
data file examples.
I'm attaching the *.gdt file were the problem occurs.
The regression is as follows:
panel FDIstock 0 lnGDP(-1) XR(-1) BIT Border PT --pooled --robust
Chow tests:
chow Eurozone --dummy
chow IberoAm --dummy
Hope you can help,
Marcelo
Attachments:
- attachment.html (text/html — 1.5 KB)
- ExampleDB.gdt (application/x-gretldata — 15.2 KB)
Am 27.06.2019 um 11:17 schrieb Marcelo Duarte:
> (And I guess you mean lagged dependent, not independent?
OK, so you really meant lagged independent (but I don't think that plays
a role here).
I'm sorry but I can't seem to find a database somewhat similar to mine
on data file examples.
I'm attaching the *.gdt file were the problem occurs.
The regression is as follows:
panel FDIstock 0 lnGDP(-1) XR(-1) BIT Border PT --pooled --robust
Chow tests:
chow Eurozone --dummy
Thanks for the example. If you observe the Chow regression output, there
was a collinearity issue with the interaction term Eu_Border. I'm
betting that you have all zeros or all ones in one of the subsamples
there, and I'm pretty sure that's the cause.
Without having thought too much about it, I guess that calculating the
Chow test should still be possible (I mean internally for gretl), after
having dropped the collinear term. That's not what gretl does right now.
At least gretl should report an explicit error - just showing the
auxiliary regression without any comment really isn't helpful.
thanks for the report
sven
On Thu, 27 Jun 2019, Sven Schreiber wrote:
Am 27.06.2019 um 11:17 schrieb Marcelo Duarte:
>
> I'm sorry but I can't seem to find a database somewhat similar to mine
> on data file examples.
> I'm attaching the *.gdt file were the problem occurs.
> The regression is as follows:
>
> panel FDIstock 0 lnGDP(-1) XR(-1) BIT Border PT --pooled --robust
>
> Chow tests:
>
> chow Eurozone --dummy
Thanks for the example. If you observe the Chow regression output, there
was a collinearity issue with the interaction term Eu_Border. I'm
betting that you have all zeros or all ones in one of the subsamples
there, and I'm pretty sure that's the cause.
Yes, all observations with Border = 1 also have Eurozone = 1. In
addition the interaction Eurozone * PT is all zeros. This shouldn't
really be a problem, but the code for the --robust version of the Chow
test was not handling properly the dropping of extraneous regressors.
That's now fixed in git, snapshots will follow.
thanks for the report
Me too, it's good to have this fixed!
Allin
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Sven Schreiber