* Chow Test * Reference: Section 9.7 of * R. Carter Hill, William E. Griffiths and George G. Judge, * Undergraduate Econometrics, Second Edition, Wiley. SAMPLE 1 20 READ (TAB9-3.shd) INV1 V1 K1 INV2 V2 K2 / SKIPLINE=1 * Stack the data MATRIX INV=(INV1'|INV2')' MATRIX V=(V1'|V2')' MATRIX K=(K1'|K2')' SAMPLE 1 40 OLS INV V K * Use the DIAGNOS command to compute a Chow test statistic from * the results of the previous OLS regression. * The CHOWONE option specifies the number of obs. in the first group. DIAGNOS / CHOWONE=20 * Now do the calculations an alternative way using dummy variables. * Generate a dummy variable GENR D=0 SAMPLE 21 40 GENR D=1 SAMPLE 1 40 GENR DV=D*V GENR DK=D*K * Estimate Equation (9.7.7), p. 212 OLS INV D V DV K DK * Calculate the F-test statistic TEST TEST D=0 TEST DV=0 TEST DK=0 END STOP