cfetch—239

Examples

The command:

censored(h) hours c wage edu kids

estimates a censored regression model of HOURS on a constant, WAGE, EDU, and KIDS with QML standard errors. This command uses the default normal likelihood, with leftcensoring at HOURS=0, no right censoring, and the quadratic hill climbing algorithm.

Cross-references

See Chapter 21, “Discrete and Limited Dependent Variable Models”, on page 619 of the User’s Guide for discussion of censored and truncated regression models.

Fetch a series from the DRI Basic Economics database into a workfile.

cfetch reads one or more series from the DRI Basic Economics Database into the active workfile. You must have the DRI database installed on your computer to use this feature.

Syntax

Examples

cfetch lhur gdp gnet

reads the DRI series LHUR, GDP, and GNET into the current active workfile, performing frequency conversions if necessary.

chow—241

Chow test for stability.

Carries out Chow breakpoint or Chow forecast tests for parameter constancy.

Syntax

Command: chow(options) obs1 [obs2 obs3 ...]

You must provide the breakpoint observations (using dates or observation numbers) to be tested. To specify more than one breakpoint, separate the breakpoints by a space.

Options

fChow forecast test. For this option, you must specify a single breakpoint to test (default performs breakpoint test).

Examples

The commands:

ls m1 c gdp cpi ar(1)

chow 1970Q1 1980Q1

perform a regression of M1 on a constant, GDP, and CPI with first order autoregressive errors, and employ a Chow breakpoint test to determine whether the parameters before the 1970’s, during the 1970’s, and after the 1970’s are “stable”.

To regress the log of SPOT on a constant, the log of P_US, and the log of P_UK, and to carry out the Chow forecast test starting from 1973, enter the commands:

equation ppp.ls log(spot) c log(p_us) log(p_uk)

ppp.chow(f) 1973

Cross-references

See “Chow's Breakpoint Test” on page 582 of the User’s Guide for further discussion.

See also rls (p. 423).