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

Listed author(s):
  • Christopher F Baum


    (Boston College)

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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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.
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Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670
Fax: +1-617-552-2308
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