3:01 p.m.
Date: Mon, 24 Jun 2019 10:43:04 -0400 (EDT)
From: Allin Cottrell <cottrell(a)wfu.edu>
Subject: [Gretl-users] Re: Chow test p-value
To: Gretl list <gretl-users(a)gretlml.univpm.it>
Message-ID: <alpine.LNX.2.21.1906241040340.11697@robroy>
Content-Type: text/plain; charset=US-ASCII
On Mon, 24 Jun 2019, Sven Schreiber wrote:
Am 24.06.2019 um 15:01 schrieb Marcelo Duarte:
>
> In previous versions of gretl, if I ran a chow test (along a dummy
> variable) from the tests menu it would print the test statistics and
> respective p-value.
> As of now, only an augumented model is returned, and no statistics and
> p-value.
>
> Is there a way to get those?
>
> I'm working on win7 64bit with gretl 2019c-git (2019-06-01).
I'm not seeing this problem on gretl 2019b (from May 21st), so if it is
a bug, it must have been introduced in the ten days after the release of
2019b. (Or it's specific to Win7, which I somehow doubt, however.)
Perhaps you should update to a brand new snapshot, or downgrade to 2019b.
I just checked an example with current git, and the test statistic
and
p-value were shown OK. They appear underneath the augmented model
output so in some cases it may be necessary to scroll down to see
them.
Allin
Hello again,
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.
My question may have an obvious answer, but I do not know: Is the chow test
sensitive to laggs in independent variables?
Thank you once more,
Marcelo
3:14 p.m.
New subject: Chow test p-value
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.)
cheers
sven
7:45 p.m.
New subject: Chow test p-value
On Wed, 26 Jun 2019, Sven Schreiber wrote:
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 also what the test looks like (dummy variable versus sample
split-point).
I've experimented again, and lags as such are not a problem. Looking
at the relevant code, the Chow test statistic will not be printed if
either it or its p-value are broken ("not a number"). I haven't been
able to provoke that case in my testing but I guess it must be what
you're seeing. We'd like to know how that can happen!
Allin
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days inactive
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2 comments
3 participants
participants (3)
-
Allin Cottrell -
Marcelo Duarte -
Sven Schreiber