[Gretl-users] Questions re: Chow tests

[James Wells]

On Thu, 15 Jun 2006, Allin Cottrell wrote:

> I wrote:
>
>> 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.)
>
> Ah, but that possibility reveals a bug: if any collinear auxiliary regressors 
> are dropped in the test regression, the numerator degrees of freedom for the 
> test will be reported wrongly.  I'm committing a fix for this to gretl CVS.
>
Yep, ok. The split creates a perfect collinearity problem with some dummy 
variables.

Thanks

> Allin Cottrell
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