Object Reference : Object View and Procedure Reference : Equation
Factor breakpoint test for stability.
Carries out a factor breakpoint test for parameter constancy.
eq_name.facbreak(options) ser1 [ser2 ser3 ...] @ x1 x2 x3
You must provide one or more series to be used as the factors with which to split the sample into categories. To specify more than one factor, separate the factors by a space. If the equation is specified by list and contains no nonlinear terms, you may specify a subset of the regressors to be tested for a breakpoint after an “@” sign.
Print the result of the test.
The commands:
equation ppp.ls log(spot) c log(p_us) log(p_uk)
ppp.facbreak season
perform a regression of the log of SPOT on a constant, the log of P_US, and the log of P_UK, and employ a factor breakpoint test to determine whether the parameters are stable through the different values of SEASON.
To test whether only the constant term and the coefficient on the log of P_US are “stable” enter the commands:
ppp.facbreak season @ c log(p_us)
See “Factor Breakpoint Test” for further discussion.
See also Equation::chow, Equation::breaktest, and Equation::rls.