pc.test {desk}

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)