QLL: Stata module to implement Elliott-Müller efficient test for general persistent time variation in regression coefficients

Statistical Software Components from Boston College Department of Economics

Abstract: qll performs the qLL efficient test for general persistence in time variation in regression coefficients proposed by Elliott and Müller (Rev. Ec. Stud., 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. Ben Jann's -moremata- package from this archive must be installed.

Language: Stata
Requires: Stata version 9.2 and -moremata- package
Keywords: time-series data; time variation; structural change; structural stability (search for similar items in EconPapers)
Date: Written 2007-08-13
Note: This module may be installed from within Stata by typing "ssc install qll". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/q/qll.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qll.hlp help file (text/plain)

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