El Saturday 15 November 2008 15:05:12 Thomas La Bone escribió:
> I have two sets of data that are not time series. I would like to fit
> separate linear models (intercept and slope) to each set of data and
> then test if the models are the same (intercepts and slopes are equal).
> I understand that this may be done with the Chow test and that Gretl
> offers this test. Can I do what I want here with the Chow test in Gretl?
> Thanks.
>
> Tom
Assuming the gretl dataset contains the two sets ordered, the first set in the
first part of the sample and the second in the second part, and the variables
in the two sets have the same names, you only have to select /Model/Ols, in
the model window, /Tests/Chow test, and now select the observation in which
the second set starts.
As the gretl help says: "[the Chow command] Provides a test for the null
hypothesis of no structural break at the given split point. The procedure is
to create a dummy variable which equals 1 from the split point specified by
obs to the end of the sample, 0 otherwise, and also interaction terms between
this dummy and the original regressors. An augmented regression is run
including these terms.
By default an F statistic is calculated, taking the augmented regression as
the unrestricted model and the original as the restricted. But if the
original model used a robust estimator for the covariance matrix, the test
statistic is a Wald chi-square value based on a robust estimator of the
covariance matrix for the augmented regression."
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