pc.test: Prognostic Chow Test on Structural Break
In desk: Didactic Econometrics Starter Kit

pc.test

R Documentation

Prognostic Chow Test on Structural Break

Description

Performs prognostic Chow test on structural break. The object of test results returned by this command can be plotted using the plot() function.

Usage

pc.test(
  mod,
  data = list(),
  split,
  sig.level = 0.05,
  details = FALSE,
  hyp = TRUE
)

Arguments

`mod`	the regular model (estimated or formula) without dummy variables.
`data`	if `mod` is a formula then the corresponding data frame has to be specified.
`split`	number of periods in phase I (last period before suspected break). Phase II is the total of remaining periods.
`sig.level`	significance level. Default value: `sig.level = 0.05`.
`details`	logical value indicating whether specific details (null distribution, number of periods, and SSRs) of the test should be displayed.
`hyp`	logical value indicating whether the hypotheses should be displayed.

Value

A list object including:

`hyp`	the null-hypothesis to be tested.
`results`	data frame of test results.
`SSR1`	sum of squared residuals of phase I.
`SSR`	sum of squared residuals of phase I + II.
`periods1`	number of periods in Phase I.
`periods.total`	total number of periods.
`nulldist`	the null distribution in the test.

References

Chow, G.C. (1960): Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica 28, 591-605.

Examples

## Estimate model
unemp.est <- ols(unempl ~ gdp, data = data.unempl[1:14,])

## Test for immediate structural break after t = 13
X <- pc.test(unemp.est, split = 13, details = TRUE)
X

plot(X)

desk documentation built on May 29, 2024, 6:05 a.m.