SUCHOWTEST: Stata module to calculate successive Chow tests on cross section and time series data

Ibrahima Diallo

Statistical Software Components from Boston College Department of Economics

Abstract: suchowtest performs successive Chow tests on cross-section and time series data. Habitually, when we are doing the Chow test, we split the sample of study in two subsamples using an exogenous break point. Unlike the previous method, the command suchowtest finds the break point endogenously. We do not have to supply a break point. If there is a threshold, the command finds it by using the information given by the data. If there is no break point the command will inform us too. This method of finding thresholds appears to be more reasonable in cases where the researcher does not know a priori the breaking point. The theory behind the command suchowtest is provided by Berthelemy and Varoudakis (1996).

Language: Stata
Requires: Stata version 12
Keywords: Chow test; stability; cross section data; threshold (search for similar items in EconPapers)
Date: 2012-10-19, Revised 2014-01-23
Note: This module should be installed from within Stata by typing "ssc install suchowtest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (2)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/suchowtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/suchowtest.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/suchowtestcross.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/s/suchowtesttime.dta sample data file (application/x-stata)

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