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*! chow -- Chow test for stability of regression coefficients
*! version 1.0.0 Sean Becketti November 1993
cap program drop chow
program define chow
version 6
quietly {
local varlist "req ex"
local if "opt pre"
local in "opt pre"
local weight "aweight fweight"
local options "noCOnstant CHow(str) CUrrent(str) Detail Exclude(str) Lags(str)"
local options "`options' Preserve REGress REStrict(str) noSAmple Static(str)"
local options "`options' Time(str) Vartest"
parse "`*'"
/*
Handle the time series options.
*/
if "`sample'"!="" { local ifsmpl 0 }
else { local ifsmpl 1 }
if ("`current'"!="") {
_parsevl `current'
local current "$S_1"
local c "current(`current')"
}
if ("`lags'"!="") {
local l "lags(`lags')"
parse "`lags'", parse(" ,")
}
if ("`static'"!="") {
_parsevl `static'
local static "$S_1"
local s "static(`static')"
}
if "`regress'"!="" {
local regress 1
local noi "noisily"
}
else { local regress 0 }
if "`time'"!="" {
tempvar t
gen long `t' = 0
cap conf n `time'
if !_rc {
if `time'==0 {
local tfac "log(`t')"
local tlab "log(t)"
}
else if `time'==1 {
local tfac "`t'"
local tlab t
}
else if `time'==-1 {
local tfac "(1/`t')"
local tlab "(1/t)"
}
else if `time'<0 {
local p = abs(`time')
local tfac "(1/(`t'^`p'))"
local tlab "(1/(t^`p'))"
}
else {
local tfac "(`t'^`time')"
local tlab "(t^`time')"
}
}
else {
_inlist "`time'" "exp ln log"
if $S_1==2 {
local tfac "log(`t')"
local tlab "log(t)"
}
else if $S_1 {
local tfac "`time'(`t')"
local tlab "`time'(`t')"
}
else {
di in re "illegal option: time(`time')"
exit 98
}
}
local time 1
}
else { local time 0 }
/*
Run the pooled regression to create any needed lags. Store
the restricted SER. Process the "if" and "in" conditions.
*/
if "`preserv'"!="" { preserve }
tsfit `varlist' `if' `in' `weight', `constan' `c' `l' `s' nosample
local K "$S_E_K"
local depv "$S_E_depv"
parse "$S_E_vl", parse(" ")
mac shift
local rhsvars "`*'"
local rrmse $S_E_rmse
tempvar touse
mark `touse' `if' `in'
markout `touse' $S_E_vl
_crcnuse `touse'
local T $S_1
local gaps $S_2
local in "in $S_3/$S_4"
local if
if `gaps' {
local if "if `touse'"
local addif "& `touse'"
}
/*
Divide the variables into restricted variables (rvars)
and unrestricted variables (uvars).
*/
local uvars "`rhsvars'"
if "`restric'"!="" {
_parsevl `restric'
local rin "$S_1"
local restric
while "`rin'"!="" {
parse "`rin'", parse(" ")
local r `1'
mac shift
local rin "`*'"
_inlist "`r'" "`varlist'"
local i $S_1
if `i' {
_ts_pars `varlist', `c' `l' `s'
local j = 4 + `i'
local rout "${S_`j'}"
}
_inlist "`r'" "`current' `static'"
if $S_1 { local rout "`r' `rout'" }
local restric "`restric' `rout'"
}
_partset "`restric'" "`rhsvars'"
local rvars "$S_1 $S_2"
local uvars "$S_3"
}
local nuvars : word count `uvars'
/*
Parse the excluded variables in preparation for compiling the
test lists.
*/
if "`exclude'"!="" {
_parsevl `exclude'
local exin "$S_1"
local exclude
while "`exin'"!="" {
parse "`exin'", parse(" ")
local x `1'
mac shift
local exin "`*'"
_inlist "`x'" "`varlist'"
local i $S_1
if `i' {
_ts_pars `varlist', `c' `l' `s'
local j = 4 + `i'
local exout "${S_`j'}"
}
_inlist "`x'" "`current' `static'"
if $S_1 { local exout "`x' `exout'" }
local exclude "`exclude' `exout'"
}
}
/*
Parse the Chow conditions. "Zi" is the dummy variable for the
i-th Chow condition. "Zij" is the interaction of Zi and the j-th
unrestricted variable.
*/
if "`chow'"=="" {
di in re "No subsamples specified"
exit 98
}
parse "`chow'", parse(",")
local i 0
while "`1'"!="" {
if "`1'"!="," {
local i = `i' + 1
if `i'==1 { local z0 "`1'" }
else if `i'==2 { local z0 "(`z0') | (`1')" }
else { local z0 "`z0' | (`1')" }
local z`i' "`1'" /* the i-th condition */
tempvar Z`i'
gen byte `Z`i'' = `1'
lab var `Z`i'' "Z`i': =1, if `1'"
if `time' {
_crcnuse `Z`i''
replace `t' = cond(_n<$S_3,0,_n-${S_3}+1) `in'
drop `Z`i''
gen double `Z`i'' = cond(`t',`tfac',0) `in'
lab var `Z`i'' "Z`i': = `tlab', if `1'"
}
if "`constan'"=="" { local Z`i'v "`Z`i''" }
local j 0
while `j'<`nuvars' {
local j = `j' + 1
tempvar Z`i'`j'
local v : word `j' of `uvars'
local t : type `v'
if `time' { local t double }
gen `t' `Z`i'`j'' = `Z`i'' * `v'
lab var `Z`i'`j'' "Z`i' * `v'"
local Z`i'v "`Z`i'v' `Z`i'`j''"
_inlist "`v'" "`exclude'"
if !$S_1 {
local tZ`i'v "`Z`i'v' `Z`i'`j''"
}
}
local Zvars "`Zvars' `Z`i'v'"
local tZvars "`tZvars' `tZ`i'v'"
}
mac shift
}
local Z0v "`Zvars'"
local tZ0v "`tZvars'"
tempvar Z0
gen byte `Z0' = `z0'
local nchow `i'
/*
Run the Chow regression.
*/
if `ifsmpl' { noi findsmpl `touse' }
`noi' regress `depv' `rvars' `uvars' `Zvars' `if' `in' `weight', `constan'
local urmse = _result(9)
tempvar resid
predict double `resid' `if' `in', resid
local x = round(`rrmse',.0001)
noi di _new in gr "RMSE of restricted equation = " in ye = `x'
if "`noi'"=="" {
local x = round(`urmse',.0001)
noi di in gr "RMSE of unrestricted equation = " in ye = `x'
}
else {
local i 0
while `i'<`nchow' {
local i = `i' + 1
local vname "`Z`i''"
local lbl: var l `Z`i''
noi di _new in ye "`Z`i''" in gr ": " in ye "`lbl'"
local j 0
while `j'<`nuvars' {
local j = `j' + 1
local vname "`Z`i'`j''"
local lbl : var l `Z`i'`j''
local lbl = "`lbl'"+substr(" ",1,13-length("`lbl'"))
if mod(`j',2) & `j'<`nuvars' { local cont "_continue" }
else { local cont }
noi di _skip(5) in ye "`Z`i'`j''" in gr ": " in ye "`lbl'" `cont'
}
}
}
/*
Test the null Chow hypotheses.
*/
local i -1
local lim = cond(`nchow'>1 & ("`detail'"!=""),`nchow',0)
while `i' < `lim' {
local i = `i' + 1
test `tZ`i'v'
local mdf`i' = _result(3)
local rdf`i' = _result(5)
local F`i' = _result(6)
noi di _new in gr "H0: coefficients unchanged when " in ye "`z`i''"
if `ifsmpl' {
findsmpl if (`z`i'') `addif' `in'
noi di _skip(4) in gr "(" in ye "$S_1" in gr "-" in ye "$S_2" in gr ", " in ye "$S_5" in gr " obs)"
}
local F = round(`F`i'',.01)
local Fstr "F(`mdf`i'',`rdf`i'')"
local skip = 8 - length("`Fstr")
local p`i' = fprob(`mdf`i'',`rdf`i'',`F`i'')
local p = round(`p`i'',.01)
noi di _skip(`skip') in gr "`Fstr' = " in ye "`F'"
noi di _skip(4) in gr "Prob > F = " in ye "`p'"
if "`vartest'"!="" {
sum `resid' if ! (`z`i'') `addif' `in'
local T0 = _result(1)
local sd0 = sqrt(_result(4)*(`T0'-1)/(`T0'-`K'))
sum `resid' if (`z`i'') `addif' `in'
local T1 = _result(1)
local sd1 = sqrt(_result(4)*(`T1'-1)/(`T1'-`K'))
sdtesti `T0' . `sd0' `T1' . `sd1'
local prmse`i' = fprob($S_3, $S_5, $S_6)
local p = round(`prmse`i'',.01)
local rmse`i' `sd1'
local x = round(`sd1',.0001)
noi di _new _skip(4) in gr "RMSE in subsample = " in ye "`x'"
local x = round(`sd0',.0001)
noi di _skip(7) in gr "rest of sample = " in ye "`x'"
noi di _skip(14) in gr "P-value = " in ye "`p'"
}
}
global S_1 `rrmse'
global S_2 `urmse'
local i -1
while `i' < `lim' {
local base = 2 + 6*`i'
local i = `i' + 1
local j = `base' + 1
global S_`j' `mdf`i''
local j = `j' + 1
global S_`j' `rdf`i''
local j = `j' + 1
global S_`j' `F`i''
local j = `j' + 1
global S_`j' `p`i''
local j = `j' + 1
global S_`j' `rmse`i''
local j = `j' + 1
global S_`j' `prmse`i''
}
} /* end quietly */
end
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