topic Re: Chow test without using proc autoreg in SAS Forecasting and Econometrics

Chow test without using proc autoreg

lizzy28 — Wed, 08 Mar 2017 20:44:50 GMT

Hi everyone,

I need to do Chow test to see whether to run one single overall model vs multiple models for the subsets of observations on EG6.1. PROC AUTOREG is not installed in my enterprise guide, so I think what I can do is to run separate models for all the subsets and then calculate Chow statistics. Does anyone happen to have this experience and know how to code for calculating Chow statistics?

Thanks as always,

Lizi

Re: Chow test without using proc autoreg

lizzy28 — Wed, 08 Mar 2017 20:45:43 GMT

I saw an example of doing the Chow test here http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_model_sect052.htm.

So it is possible to run the model with the overall sample and do the Chow test with breakpoints. But I am not sure about the right way to put breakpoints…

Re: Chow test without using proc autoreg

rogerjdeangelis — Wed, 08 Mar 2017 22:31:28 GMT

You might want to google 'R chow etst'. WPS does not limit the size of the SAS dataset it creates from R and R can read SAS datasets.