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QLL: Stata module to implement Elliott-Müller efficient test for general persistent time variation in regression coefficients

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

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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File URL: http://fmwww.bc.edu/repec/bocode/q/qll.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/q/qll.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456862.

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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 should 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

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: time-series data; time variation; structural change; structural stability;

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