{smcl} {hline} {cmd:help: {helpb chowreg}}{space 50} {cmd:dialog:} {bf:{dialog chowreg}} {hline} {bf:{err:{dlgtab:Title}}} {bf:chowreg: Structural Change Regressions and Chow Test} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb chowreg##01:Syntax}{p_end} {p 5}{helpb chowreg##02:Options}{p_end} {p 5}{helpb chowreg##03:Description}{p_end} {p 5}{helpb chowreg##04:Saved Results}{p_end} {p 5}{helpb chowreg##05:References}{p_end} {p 1}*** {helpb chowreg##06:Examples}{p_end} {p 5}{helpb chowreg##07:Author}{p_end} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 2 4 2} {opt chowreg} {depvar} {indepvars} {ifin} {weight} , {opt d:um(#)} [ {opt t:ype(#)} {opt nocons:tant} {opth vce(vcetype)}]{p_end} {marker 02}{bf:{err:{dlgtab:Options}}} {synoptset 16}{...} {synopt:{bf:type({err:{it:1, 2, 3}})}}Functional Form Dummy Variables Type{p_end} (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 {synopt:{bf:dum({err:{it:#}})}}Number of First Period Observations{p_end} {synopt:{opt nocons:tant}}Exclude Constant Term{p_end} {marker 03}{bf:{err:{dlgtab:Description}}} {p 2 2 2}{cmd:chowreg} Estimates structural change regressions and compute Chow test"}{p_end} {marker 04}{bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:chowreg} saves the following in {cmd:r()}: {col 4}{cmd:r(chow)}{col 20}Chow Test {col 4}{cmd:r(chowp)}{col 20}Chow Test P-Value {col 4}{cmd:r(fisher)}{col 20}Fisher Test {col 4}{cmd:r(fisherp)}{col 20}Fisher Test P-Value {col 4}{cmd:r(wald)}{col 20}Wald Test {col 4}{cmd:r(waldp)}{col 20}Wald Test P-Value {col 4}{cmd:r(lr)}{col 20}Likelihood Ratio Test {col 4}{cmd:r(lrp)}{col 20}Likelihood Ratio Test P-Value {col 4}{cmd:r(lm)}{col 20}Lagrange Multiplier Test {col 4}{cmd:r(lmp)}{col 20}Lagrange Multiplier Test P-Value {marker 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}. {p 4 8 2}Greene, William (1993) {cmd: "Econometric Analysis",} {it:2nd ed., Macmillan Publishing Company Inc., New York, USA}. {p 4 8 2}Greene, William (2007) {cmd: "Econometric Analysis",} {it:6th ed., Upper Saddle River, NJ: Prentice-Hall}. {p 4 8 2}Maddala, G. (1992) {cmd: "Introduction to Econometrics",} {it:2nd ed., Macmillan Publishing Company, New York, USA}. {marker 06}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse chowreg.dta , clear} {stata db chowreg} {stata chowreg y x1 x2 , dum(9) type(1)} {stata chowreg y x1 x2 , dum(9) type(2)} {stata chowreg y x1 x2 , dum(9) type(3)} {hline} . 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 {marker 07}{bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Professor (PhD Economics)} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/psh494.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/psh494.htm"}} {bf:{err:{dlgtab:CHOWREG Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {p 1 10 1}{cmd:CHOWREG: "Structural Change Regressions and Chow Test"}{p_end} {browse "http://ideas.repec.org/c/boc/bocode/s457383.html"} {browse "http://econpapers.repec.org/software/bocbocode/s457383.htm"} {title:Online Help:} {bf:{err:* Econometric Regression Models:}} {bf:{err:* (1) (OLS) * Ordinary Least Squares 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