Dear all,
I am having a major issue at testing for parameter stability, using ESS procedure, developed by Inoue and Rossi. For Slovenia and Italy, I obtain perfect result, a positive SupLR value, that is result of Andrews (1993) QLR test. However, for Austria, the value is negative! If I make a modification to the formula for Chow test, than the SupLR value becomes positive, however, I can’t change the methodology for consistency reasons.
Does anyone have any idea what is wrong with Austria?
Thank you so much!
Here is the formula, line 53 in attached file:
original with minus in the beginning:
chow=-2* (L-(L1*(t2/T)+(1-t2/T)*L2));
2. modified without minus in the beginning:
chow=2* (L-(L1*(t2/T)+(1-t2/T)*L2));Dear all,
I am having a major issue at testing for parameter stability, using ESS procedure, developed by Inoue and Rossi. For Slovenia and Italy, I obtain perfect result, a positive SupLR value, that is result of Andrews (1993) QLR test. However, for Austria, the value is negative! If I make a modification to the formula for Chow test, than the SupLR value becomes positive, however, I can’t change the methodology for consistency reasons.
Does anyone have any idea what is wrong with Austria?
Thank you so much!
Here is the formula, line 53 in attached file:
original with minus in the beginning:
chow=-2* (L-(L1*(t2/T)+(1-t2/T)*L2));
2. modified without minus in the beginning:
chow=2* (L-(L1*(t2/T)+(1-t2/T)*L2)); Dear all,
I am having a major issue at testing for parameter stability, using ESS procedure, developed by Inoue and Rossi. For Slovenia and Italy, I obtain perfect result, a positive SupLR value, that is result of Andrews (1993) QLR test. However, for Austria, the value is negative! If I make a modification to the formula for Chow test, than the SupLR value becomes positive, however, I can’t change the methodology for consistency reasons.
Does anyone have any idea what is wrong with Austria?
Thank you so much!
Here is the formula, line 53 in attached file:
original with minus in the beginning:
chow=-2* (L-(L1*(t2/T)+(1-t2/T)*L2));
2. modified without minus in the beginning:
chow=2* (L-(L1*(t2/T)+(1-t2/T)*L2)); parameter stability testing MATLAB Answers — New Questions

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