1 / 21

Chow Test for Structural Change: Application in Time Series Data Analysis

Explore the application of Chow Test to detect structural changes in time series data. Using the Gann Initiative as a case study, analyze two periods (1968-69 to 1977-78, 1978-79 to 2007-08) with fitted regression models. Evaluate the F-Test results, discussing the significance of moving from 2 to 4 parameters and choosing between single or dual time trend models. Learn how to interpret the Wald Test for model comparison.

leigh-pratt
Télécharger la présentation

Chow Test for Structural Change: Application in Time Series Data Analysis

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. F- Test Applications

  2. Time Series Applications • Chow Test for structural change

  3. Actual, Fitted, Residual graph

  4. The Gann Initiative • 1977-Limit Government in Real Terms Per Capita • Two periods • 1968-69 through 1977-78 • 1978-79 through 2007-08

  5. Genr periodone=0, type in ones Genr periodtwo=1, type in zeros

  6. Genr timeone=periodone*time Genr timetwo=periodtwo*time

  7. Regression • Ratio = c(1)*periodone + c(2)*timeone + c(3)*periodtwo + c(4)*timetwo +e(t)

  8. F-Test • F2, 36 = [SSR2 - SSR4 ]/2 ÷ SSR4/(40-4) • F2, 36 = [13.31 – 7.40]/2 ÷ 7.40/36 • F2, 36 = 2.96/0.206 = 14.4

  9. Genr: Fvar=@rfdist(2, 36) Genr: Density=@dfdist(Fvar, 2, 36)

  10. F density for 2 and 36 Degrees of Freedom 14.4 3.27 5%

  11. Can you go from 2 parameters to 4 parameters? • Yes, there is a significant increase in explained variance, indicating a structural change after the passage of the Gann Initiative in 1977

  12. Alternatively, can you estimate a single time trend instead of two time trends? • No, two time trends fits the data significantly better

  13. Wald Test

More Related