[Gretl-users] Questions re: Chow tests

[Allin Cottrell]

On Thu, 15 Jun 2006, James Wells wrote:

> I'm working with time series data (annual from 1959 to 2004) and 
> regressing my dependent variable on five explanatories, plus one 
> lagged values of the dependent variable. When I run a Chow test 
> for structural break, it creates only three "sd_" variables. How 
> come?

I'm not sure.  I just ran an arbitrary example with the same setup 
of regressors as you mention, and "sd_" variables were added for 
all 5 independent variables as well as the lagged dependent 
variable.  If you could send me whatever's needed to replicate 
your model, I'll be happy to give it a try.  (One possibility that 
occurs to me is that, somehow, there might be perfect collinearity 
among some of the created variables.)

> Also, are there any plans to implement a Quandt likelihood ratio 
> test in gretl?

That's something I've thought of, but haven't got around to yet. 
It will probably be added at some point.

Allin Cottrell