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help for qll
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Perform Elliott-Müller efficient test for general persistent time variation in 
> regression coefficients

Syntax

        qll depvar varlist [ (zvarlist) ] [if exp] [in range] [, rlag(#) ]

qll is for use with time-series data.  You must tsset your data before using
qll; see tsset. You may apply qll to a single time series of a panel dataset.
varlist may contain time-series operators; see help varlist.

Description

qll performs the qLL efficient test for general persistence in time variation
in regression coefficients proposed by Elliott and Müller (2006). The test
contrasts a stable regression model y = X beta + Z gamma + epsilon from the
unstable alternative y = X beta(t) + Z gamma + epsilon. This very general
specification nests many of the 'structural break' and 'time varying parameter'
models in the literature, allowing for almost any pattern of variation in the
coefficients of the X variables, with good power and size even in a
heteroskedastic context.

zvarlist specifies the set of Z regressors, whose coefficients are assumed to
be fixed over time.

Options

rlag(#) specifies the number of lags to be used in computing the long-run
    variance matrix. If a positive value is given, that number of lags is used,
    just as in newey. If a negative value is given, the optimal lag order is
    chosen by the BIC criterion.

Saved results

qll saves the value of the test statistic, the number of observations in the
estimation sample, and a three-element matrix (r(cvmat)) containing the 10%, 5%
and 1% critical values of the test for up to 10 regressors in X. If the number
of lags is chosen by the BIC criterion, it is also saved as r(biclags).  See
return list.


Examples

        . use http://www.stata-press.com/data/r9/lutkepohl.dta

        (Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table
            E.1)

        . qll linvestment lincome (lconsumption)

        . qll linvestment lincome (lconsumption), rlag(4)

        . qll linvestment L(1/4).lincome (L(1/4).lconsumption)

        . qll linvestment lincome (lconsumption) if tin(30,85)


Acknowledgements

I am grateful to Graham Elliott for his clear presentation of the underlying th
> eory when 
visiting Boston College in Spring 2007, and for his MATLAB code from which this
>  routine was
constructed. Remaining errors are my own.

References

Elliott, G. and Müller, U.K., 2006. Efficient Tests for General Persistent Time
    Variation in Regression Coefficients.  Review of Economic Studies, Vol. 73,
    pp. 907-940.

Citation

qll is not an official Stata command. It is a free contribution to the research
community, like a paper. Please cite it as such:

    Baum, C.F., 2007.  qll: Stata module to perform Elliott-Müller efficient
        test for general persistent time variation in regression
        coefficients.  http://ideas.repec.org/c/boc/bocode/s456862.html

Author

Christopher F Baum, Boston College, USA
baum@bc.edu


Also see

On-line:  help for newey