breaktest |

Breakpoint test.

Carries out a breakpoint test for parameter stability in equations estimated using TSLS and GMM.

See chow for related tests in equations estimated using least squares.

Syntax

eq_name.breaktest obs1 [obs2 obs3....]

You must provide the breakpoint observations (using dates or observation numbers) to be tested. To specify more than one breakpoint, separate the breakpoints by a space.

Examples

The commands

equation eq1.gmm m1 c gdp cpi @ gdp(-1) cpi(-1)

eq1.breaktest 1960 1970

perform a GMM estimation of M1 on a constant, GDP and CPI, with lagged values of GDP and CPI used as instruments, and then perform a breakpoint test to test whether the parameter estimates for the periods prior to 1960, during the 1960s, and then after 1970 are stable.

Cross-references

See “GMM Breakpoint Test” for discussion.