Suppose that the following import function for Turkey is estimated for Turkey between 1980-2015. In order to measure the impact of 2001 crisis the regression is estimated based on the whole and two subsamples and the following RSS are obtained. Time period: 1980-2000 , RSS1= 69 Time period: 2001-2015, RSS2 =35 Time period: 1980-2015 , RSS = 160 Carry out the Chow test whether the regressions for the two periods are different at 5% significance level.
Suppose that the following import function for Turkey is estimated for Turkey between 1980-2015. In order to measure the impact of 2001 crisis the regression is estimated based on the whole and two subsamples and the following RSS are obtained. Time period: 1980-2000 , RSS1= 69 Time period: 2001-2015, RSS2 =35 Time period: 1980-2015 , RSS = 160 Carry out the Chow test whether the regressions for the two periods are different at 5% significance level.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
Suppose that the following import
In order to measure the impact of 2001 crisis the regression is estimated based on the whole and two subsamples and the following RSS are obtained.
Time period: 1980-2000 , RSS1= 69
Time period: 2001-2015, RSS2 =35
Time period: 1980-2015 , RSS = 160
Carry out the Chow test whether the regressions for the two periods are different at 5% significance level.
Transcribed Image Text:TABLE D.2
PERCENTAGE POINTS OF THE I DISTRIBUTION
Example
Pr (t > 2.086) = 0.025
Pr (t > 1.725) = 0.05
for df = 20
0.05
Pr (|t| > 1.725) = 0.10
1.725
Pr
df
0.25
0.50
0.005
0.010
0.10
0.05
0.10
0.025
0.05
0.01
0.02
0.001
0.002
0.20
63.657
9.925
1
1.000
3.078
6.314
12.706
31.821
318.31
6.965
4.541
0.816
1.886
2.920
4.303
22.327
0.765
0.741
3
1.638
2.353
3.182
5.841
10.214
4
1.533
2.132
2.776
3.747
4.604
7.173
0.727
1.476
2.015
2.571
3.365
4.032
5.893
3.707
3.499
0.718
1.440
1.943
2.447
3.143
5.208
7
0.711
1.415
1.895
2.365
2.998
4.785
0.706
0.703
8
1.397
1.860
2.306
2.896
3.355
4.501
9
1.383
1.833
2.262
2.821
3.250
4.297
10
0.700
1.372
1.812
2.228
2.764
3.169
4.144
11
0.697
1.363
1.796
2.201
2.718
3.106
4.025
12
0.695
1.356
1.782
2.179
2.681
3.055
3.930
1.350
1.345
13
0.694
1.771
2.160
2.650
3.012
3.852
14
0.692
1.761
2.145
2.624
2.977
3.787
15
0.691
1.341
1.753
2.131
2.602
2.947
3.733
16
0.690
1.337
1.746
2.120
2.583
2.921
3.686
2.898
2.878
2.861
1.740
2.110
2.567
2.552
17
0.689
1.333
3.646
0.688
0.688
1.330
1.328
3.610
3.579
18
1.734
2.101
19
1.729
2.093
2.539
20
0.687
1.325
1.725
1.721
2.086
2.528
2.845
3.552
0.686
0.686
1.323
2.518
2.831
2.819
21
2.080
3.527
22
1.321
1.717
2.074
2.508
3.505
23
0.685
1.319
1.714
2.069
2.500
2.807
3.485
24
0.685
1.318
1.711
2.064
2.492
2.797
3.467
1.316
1.315
25
0.684
1.708
2.485
2.060
2.056
2.787
3.450
3.435
26
0.684
1.706
2.479
2.779
2.473
2.467
27
0.684
1.314
1.703
2.052
2.771
3.421
3.408
3.396
28
0.683
1.313
1.701
2.048
2.763
29
0.683
1.311
1.699
2.045
2.462
2.756
30
0.683
1.310
1.697
2.042
2.457
2.750
3.385
40
0.681
1.303
1.684
2.021
2.423
2.704
3.307
60
0.679
1.296
1.289
1.671
2.000
2.390
2.358
2.660
3.232
1.980
1.960
3.160
3.090
120
0.677
1.658
2.617
0.674
1.282
1.645
2.326
2.576
Note: The smaller probability shown at the head of each column is the area in one tail; the larger probability
is the area in both tails.
Source: From E. S. Pearson and H. O. Hartley, eds., Biometrika Tables for Statisticians, vol. 1, 3d ed., table 12,
Cambridge University Press, New York, 1966. Reproduced by permission of the editors and trustees of Biometrika.
Transcribed Image Text:95th Percentile Values
for the F Distribution
0.95
(vi degrees of freedom in numerator)
(v2 degrees of freedom in denominator)
0.05
.95
1 2 3 4 s 6
7
8
9
10
12
15
20
24
30
40
60
120
1
161
200
216
225
230 234
237
239
241
242
244
246
248
249
250
251
252
253 254
18.5 19.0 19.2 | 19.2 | 19.3| 19.3
9.55 9.28 9.12 9.01 8.94 | 8.89 8.85
2
19.4 | 19.4 19.4 | 19.4 | 19.4 19.4 | 19.4 19.5
19.5 19.5 19.5
19.5| 19,5
8.81 8.79 8.74 8.70 |8.66 8.64 | 8.62 8.59 8.57 8.55 8.53
6.00 5.96 5.91 5.86 5.80 5.77 5.75 5.72
3
10.1
7.71
6.94 6.59 6.39 6.26 6.16 6.09 | 6.04
5.69
5.66| 5.63
5
6.61 5.79 5.41 5.19| 5.05 4.95 4.88 4.82 4.77 4.74 4.68 4.62 4.56 4.53 4.50 4.46 4.43
4.40 4.37
6
5.99 5.14 4.76 4.53
4.39 4.28 4.21 |4.15
4.10 4.06 | 4.00 3.94 | 3.87 3.84 3.81 3.77 3.74 3.70 3.67
7
5.59 4.74 4.35 4.12 3.97 3.87 3.79 3.73 3.68 | 3.64 | 3.57 3.51
3.44 3.41 | 3.38 3.34 3.30 3.27 3.23
5.32 4.46 4.07 3.84 3.69 3.58 3.50 3.44
3.39 3.35 | 3.28 3.22 3.15 3.12 | 3.08 3.04 3.01 2.97 2.93
9
5.12 4.26 3.86 3.63| 3.48 3.37 3.29 | 3.23 3.18| 3.14 | 3.07 3.01
2.94 | 2.90 | 2.86 2.83 | 2.79
2.75 2.71
10
4.96 4.10 3.71 |3.48 3.33 3.22
3.14 3.07
3.02 2.98 | 2.91 | 2.85| 2.77 2.74 2.70 |2.66 2.62
2.58 2.54
11
4.84 3.98 3.59 3.36 3.20 3.09
3.01 2.95 2.90 2.85 2.79 2.72 2.65 2.61 2.57 2.53 2.49 2.45 2.40
12
4.75
3.89 3.49 3.26 | 3.11 3.00 2.91 |2.85
2.80 2.75 | 2.69 2.62
2.54 2.51 2.47 2.43 2.38 2.34 2.30
13
4.67
3.81 3.41 3.18 | 3.03 2.92 2.83 2.77 2.71 2.67 | 2.60 2.53 | 2.46 2.42 | 2.38 2.34 2.30
2.25 2.21
14
4.60 3.74 3.34 3.11 | 2.96 2.85 2.76 2.70 2.65 2.60 | 2.53 2.46 2.39 2.35 2.31 2.27| 2.22 2.18 2.13
15
4.54 3.68 3.29 3.06 2.90 2.79 2.71 2.64 2.59 | 2.54 2.48 2.40 2.33 2.29 2.25 2.20| 2.16 2.11 2.07
4.49 3.63 3.24 3.01
4.45 3.59 3.20 2.96 2.81 2.70 | 2.61 2.55
16
2.85 2.74 2.66 | 2.59 2.54 2.49 | 2.42 2.35 2.28 2.24 | 2.19 | 2.15 2.11
2.06 2.01
17
2.49 2.45 2.38 2.31
2.23 2.19| 2.15 2.10 2.06 2.01 | 1.96
18
4.41
3.55 3.16 2.93
2.77 2.66 | 2.58 2.51
2.46 2.41
2.34 2.27 2.19 | 2.15 | 2.11 2.06
2.02
1.97| 1.92
4.38 3.52 3.13 2.90 | 2.74 2.63 | 2.54 2.48 2.42 2.38 | 2.31| 2.23 2.16 2.11 2.07 2.03
2.39 2.35 2.28 2.20 2.12 2.08 2.04 1.99
19
1.98
1.93 1.88
20
4.35 3.49 3.10 2.87 2.71 2.60 | 2.51 2.45
1.95
1.90 1.84
21
4.32 3.47 3.07 |2.84| 2.68 2.57
2.49 2.42 2.37 2.32 2.25 2.18 2.10 2.05 2.01| 1.96 | 1.92
1.87 | 1.81
22
4.30 3.44 3.05 2.82 2.66 2.55 2.46 2.40 2.34 2.30 | 2.23 2.15 2.07 2.03| 1.98 | 1.94 1.89
1.84 1.78
23
4.28 3.42 3.03 2.80 2.64 2.53 | 2.44 2.37
2.32 2.27 2.20 2.13 2.05 2.01 1.96 | 1.91| 1.86 1.81 1.76
4.26 3.40 3.01 2.78 2.62 2.51 2.42 2.36 2.30 2.25 2.18 2.11
2.03| 1.98 | 1.94 | 1.89 1.84 1.79 1.73
3.39 2.99 | 2.76 2.60 | 2.49 2.40 2.34 2.28 2.24 | 2.16 2.09 | 2.01 1.96 1.92 | 1.87 1.82 1.77 1.71
24
25
4.24
26
4.23 3.37 2.98 | 2.74 2.59 2.47 2.39 2.32 2.27 2.22 | 2.15 2.07
1.99 | 1.95 1.90 1.85 1.80
1.75 1.69
3.35 2.96 2.73 2.57 2.46 2.37 2.31
2.25 2.20 2.13 2.06
2.56 2.45 2.36 2.29 2.24 2.19 2.12 2.04
27
4.21
1.97 1.93 1.88 | 1.84 | 1.79
1.73 1.67
28
4.20 3.34 2.95 2.71
1.96 1.91| 1.87 1.82| 1.77
1.71|1.65
29
4.18
3.33 2.93 2.70 2.55 2.43 2.35 2.28
2.22 2.18 2.10 2.03 | 1.94 1.90 1.85 | 1.81
1.75
1.70 | 1.64
1.93 1.89 1.84 | 1.79 1.74
4.17 3.32 2.92 | 2.69 | 2.53 2.42 | 2.33 2.27 2.21| 2.16 | 2.09 2.01
4.08 3.23 2.84 2.61
30
1.68 | 1.62
2.45 2.34 2.25 2.18 2.12 2.08 | 2.00| 1.92
4.00 3.15 2.76 2.53 2.37 2.25 2.17 2.10 2.04 1.99 1.92 1.84
40
1.84 1.79 1.74 1.69 | 1.64
1.58 | 1.51
60
1.75 1.70 1.65 1.59 1.53 1.47 1.39
3.92 3.07 2.68 2.45 2.29 2.18 | 2.09 2.02
1.96 1.91| 1.83 1.75
1.43 1.35 1.25
1.66 1.61| 1.55 1.50
1.57 1.52 1.46 | 1.39 1.32
120
3.84 3.00 2.60 2.37 2.21 2.10 2.01 1.94 1.88 1.83 | 1.75 1.67
1.22 | 1.00
-
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