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

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

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.

Suggested Citation

  • Christopher F Baum, 2007. "QLL: Stata module to implement Elliott-Müller efficient test for general persistent time variation in regression coefficients," Statistical Software Components S456862, Boston College Department of Economics, revised 28 Aug 2008.
    • Handle: RePEc:boc:bocode:s456862
    Note: This module should be installed from within Stata by typing "ssc install qll". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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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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