A Two-Way Generalisation of The Chow Test: The General Case

Jagabandhu Saha

Abstract


ABSTRACT

While Chow test is applicable for testing the equality between sets of coefficients in two   linear regressions, this paper attempts to construct a test procedure not only to compare the equality between sets of coefficients in two linear regressions, but also, in case they are not equal, to provide detailed informations about the inequality of the sets. Not only that, in this paper we also try to accomplish all these for not just only two linear regressions but for all possible pairs of linear regressions out of any number of given linear regressions, thus generalising the Chow test in two directions. The procedure is then illustrated through comparison of Engel curves on food for different Socioeconomic groups of Rural India, using NSS data.


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References


Chow, Gregory C. (1960): Tests of Equality between Sets of Coefficients in Two Linear Regressions, Econometrica, Vol. 28, No. 3, pp. 591-605.

Saha, J. & Pal, M. (2014): A Modified Chow Test Approach Towards Testing Differences in The Engel Elasticities, Asian- African Journal of Economics and Econometrics, Vol.14, No.1, 2014; 57-67.

National Sample Survey Organisation (2007), Household Consumer Expenditure Among Socio-Economic Groups: 2004 – 2005, NSS 61st Round (July 2004 - June 2005), NSSO Report No. 514(61/1.0/7), Government of India.

Mahalanobis P.C. (1936): On the generalised distance in statistics, Proceedings of the National Institute of Sciences of India 2 (1): 49–55. Retrieved 2012-05-03.

R in Action, Second Edition, Manning publishing house.




DOI: http://dx.doi.org/10.18535/v4i12.01

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