qll performs the qLL efficient test for general persistence in time variation in regression coefficients proposed by Elliott and Müller (Rev. Ec. Stud., 2006). The test contrasts a stable regression model y = X beta + Z gamma + epsilon from the unstable alternative y = X beta(t) + Z gamma + epsilon. This very general specification nests many of the 'structural break' and 'time varying parameter' models in the literature, allowing for almost any pattern of variation in the coefficients of the X variables, with good power and size even in a heteroskedastic context. Ben Jann's -moremata- package from this archive must be installed.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S456862.
Size: Programming language: Stata Requires: Stata version 9.2 and -moremata- package Date of creation: 13 Aug 2007 Date of revision:
28 Aug 2008 Handle: RePEc:boc:bocode:s456862
Note: This module may be installed from within Stata by typing "ssc install qll". Windows users should not attempt to download these files with a web browser. Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC