金融计量经济学双语版全套课件演示版.ppt

课件 5-* The Chow邹至庄 Test RSS = RSS for whole sample RSS1 = RSS for sub-sample 1 RSS2 = RSS for sub-sample 2 T = number of observations 2k = number of regressors in the “unrestricted” regression (since it comes in two parts) k = number of regressors in (each part of the) “unrestricted” regression 3. Perform the test. If the value of the test statistic is greater than the critical value from the F-distribution, which is an F(k, T-2k), then reject the null hypothesis that the parameters are stable over time.* 课件 5-* A Chow Test Example Consider the following regression for the CAPM ? (agai