Chow forecast (predictive-failure) test (Chow 1960)

Source: Chow, G. C. (1960), Tests of equality between sets of coefficients in two linear regressions, Econometrica 28, 591-605. The 1960 paper is paywalled here and could not be retrieved; the second of the two tests in that paper, the forecast test, is quoted in its standard published form F = ((RSS_c - RSS_1)/n2) / (RSS_1/(n1 - k)) on (n2, n1 - k) degrees of freedom, where RSS_1 fits the first n1 observations alone and RSS_c fits all n1 + n2.

Usage

Chowfc(y, X, split, add_intercept = TRUE)

Arguments

y

Numeric response of length n.

X

Numeric n x p regressor matrix.

split

Number n1 of leading observations used for estimation.

add_intercept

Prepend a column of ones. Default TRUE.

Value

list: statistic, p_value, df1, df2, rss1, rss_pooled, n1, n2, k, method.

Examples

set.seed(1)
X <- matrix(rnorm(60), 30, 2)
Chowfc(X[, 1] + rnorm(30), X, 20)$statistic
#> [1] 0.5438