+-------+ ----+ Title +------------------------------------------------------------
chowreg: Structural Change Regressions and Chow Test
+--------+ ----+ Syntax +-----------------------------------------------------------
chowreg depvar indepvars [if] [in] [weight] , dum(#) [ type(#) noconstant vce(vcetype)]
+---------+ ----+ Options +----------------------------------------------------------
type(1, 2, 3) Functional Form Dummy Variables Type
(1) Y = X + D0 (2) Y = X + DX (3) Y = X + D0 + DX where: D0 = Dummy variable (0,1), takes (0) in first period, and (1) in second > period. DX = Cross product of each Xi times in D0
dum(#) Number of First Period Observations
noconstant Exclude Constant Term
+-------------+ ----+ Description +------------------------------------------------------
chowreg Estimates structural change regressions and compute Chow test"}
+---------------+ ----+ Saved Results +----------------------------------------------------
chowreg saves the following in r():
r(chow) Chow Test r(chowp) Chow Test P-Value r(fisher) Fisher Test r(fisherp) Fisher Test P-Value r(wald) Wald Test r(waldp) Wald Test P-Value r(lr) Likelihood Ratio Test r(lrp) Likelihood Ratio Test P-Value r(lm) Lagrange Multiplier Test r(lmp) Lagrange Multiplier Test P-Value
+------------+ ----+ References +-------------------------------------------------------
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA.
Greene, William (2007) "Econometric Analysis", 6th ed., Upper Saddle River, NJ: Prentice-Hall.
Maddala, G. (1992) "Introduction to Econometrics", 2nd ed., Macmillan Publishing Company, New York, USA.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse chowreg.dta , clear
db chowreg
chowreg y x1 x2 , dum(9) type(1) chowreg y x1 x2 , dum(9) type(2) chowreg y x1 x2 , dum(9) type(3) -------------------------------------------------------------------------------
. clear all . sysuse chowreg.dta , clear . chowreg y x1 x2 , dum(9) type(1)
============================================================================== * Structural Change Regression * ==============================================================================
Source | SS df MS Number of obs = 17 -------------+------------------------------ F( 3, 13) = 86.07 Model | 8467.92983 3 2822.64328 Prob > F = 0.0000 Residual | 426.320328 13 32.7938714 R-squared = 0.9521 -------------+------------------------------ Adj R-squared = 0.9410 Total | 8894.25016 16 555.890635 Root MSE = 5.7266
------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- x1 | .9479218 .3688768 2.57 0.023 .1510118 1.744832 x2 | -1.483711 .2345698 -6.33 0.000 -1.990468 -.9769534 D0 | -3.91322 8.474379 -0.46 0.652 -22.221 14.39456 _cons | 151.9528 53.80284 2.82 0.014 35.7188 268.1867 ------------------------------------------------------------------------------
( 1) D0 = 0
F( 1, 13) = 0.21 Prob > F = 0.6519 ============================================================================== * Structural Change Test: Y = X + D0 * ============================================================================== Ho: no Structural Change - Chow Test = 0.2132 P-Value > F(1 , 13) 0.6519
. chowreg y x1 x2 , dum(9) type(2)
============================================================================== * Structural Change Regression * ==============================================================================
Source | SS df MS Number of obs = 17 -------------+------------------------------ F( 4, 12) = 78.86 Model | 8568.30591 4 2142.07648 Prob > F = 0.0000 Residual | 325.944251 12 27.1620209 R-squared = 0.9634 -------------+------------------------------ Adj R-squared = 0.9511 Total | 8894.25016 16 555.890635 Root MSE = 5.2117
------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- x1 | .9828138 .3162965 3.11 0.009 .2936629 1.671965 x2 | -1.35305 .2050101 -6.60 0.000 -1.799729 -.9063713 Dx_x1 | .6241894 .334729 1.86 0.087 -.1051225 1.353501 Dx_x2 | -1.029671 .5229864 -1.97 0.073 -2.169161 .1098183 _cons | 136.4496 45.26946 3.01 0.011 37.81594 235.0833 ------------------------------------------------------------------------------
( 1) Dx_x1 = 0 ( 2) Dx_x2 = 0
F( 2, 12) = 1.98 Prob > F = 0.1812 ============================================================================== * Structural Change Test: Y = X + DX * ============================================================================== Ho: no Structural Change - Chow Test = 1.9765 P-Value > F(2 , 12) 0.1812
. chowreg y x1 x2 , dum(9) type(3)
============================================================================== * Structural Change Regression * ==============================================================================
Source | SS df MS Number of obs = 17 -------------+------------------------------ F( 5, 11) = 75.75 Model | 8643.23205 5 1728.64641 Prob > F = 0.0000 Residual | 251.018117 11 22.8198288 R-squared = 0.9718 -------------+------------------------------ Adj R-squared = 0.9589 Total | 8894.25016 16 555.890635 Root MSE = 4.777
------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- x1 | .3623291 .4486735 0.81 0.436 -.6251947 1.349853 x2 | -1.683503 .2618556 -6.43 0.000 -2.259843 -1.107162 D0 | -154.5432 85.2883 -1.81 0.097 -342.2615 33.17507 Dx_x1 | 1.732067 .6840704 2.53 0.028 .2264386 3.237696 Dx_x2 | -.5282025 .5535151 -0.95 0.360 -1.746481 .6900761 _cons | 231.5499 66.90452 3.46 0.005 84.29409 378.8058 ------------------------------------------------------------------------------
( 1) D0 = 0 ( 2) Dx_x1 = 0 ( 3) Dx_x2 = 0
F( 3, 11) = 2.66 Prob > F = 0.0998 ============================================================================== * Structural Change Tests: Y = X + D0 + DX ============================================================================== Ho: no Structural Change
- Chow Test [K, N-2*K] = 2.6628 P-Value > F(3 , 11) 0.0998 - Fisher Test [N2,(N1-K)] = 4.5197 P-Value > F(8 , 6) 0.0412 - Wald Test = 12.3458 P-Value > Chi2(8) 0.0021 - Likelihood Ratio Test = 9.2809 P-Value > Chi2(8) 0.0097 - Lagrange Multiplier Test = 7.1519 P-Value > Chi2(8) 0.0280
+--------+ ----+ Author +-----------------------------------------------------------
Emad Abd Elmessih Shehata Assistant Professor Agricultural Research Center - Agricultural Economics Research Institute - Eg > ypt Email: emadstat@hotmail.com WebPage: http://emadstat.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/psh494.html WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm
+------------------+ ----+ chowreg Citation +-------------------------------------------------
Shehata, Emad Abd Elmessih (2011) CHOWREG: "Stata Module to Estimate Structural Change Regressions and Compute Chow Test"
Online Help:
diagreg, chowreg, regress (if installed).