hello,
I'm running a newey-west regression with command "newey".
I want also to test for structural break. I'm using the
optimal tests suggested by Andrews and Ploberger (1994) - the
Mean-Wald test -
as part of the test I need to compute the standard LR test -
or a F-test for a parameter's significance (the one measuring
a possible change in the coeff.)
If I run the command "test" after "Newey" it shows a F-test
result, (which is actually really huge compared with the same
test under a regular OLS regression on the same equation)
Does somebody knows what is the exactly procedure Stata
follows to test parameters under linear reg. with Newey-West
std. errors estimators?
Is still valid to use the "test" command for this pourpose?
I'll appreciate any suggestions,
Thanks,
Evelyn
Evelyn Colino
PhD Student
University of Illinois at U-C
Research Assistant Agricultural and Consumer Economics Department
326 Mumford Hall, MC-710
1301 West Gregory Drive
Urbana, Il., 61801-3605
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