Chow test in R
Chow test in R
The Chow test is used to compare the coefficients of two distinct regression models on two separate datasets.
This test is commonly used in econometrics using time series data to evaluate if the data has a structural break at some point.
The basic steps are as follows:
Run all of your data through a “limited” regression (pooled).
Using your breakpoint as a guide, divide your sample into two groups (e.g. a point in time, or a variable value).
On each of your subsamples, run an “unrestricted” regression. With a single breakpoint, you’ll run two “unrestricted” regressions.
Then calculate Chow F-statistic.
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