st: Tiao-Goldberger test

[Kit Baum <baum@bc.edu>]

<>
This is a rather obscure reference, developed in a 1962 working paper  
from Univ. of Wisconsin, and apparently widely used in the real estate  
literature (if unknown elsewhere). My friend Keith Schwer of UNLV (Las  
Vegas) has used it in published work. A downloadable copy of one of  
his articles in the J. Real Estate Research details the test, which

"is employed to examine differences between the two models."  It can  
be used to examine differences between L models in particular  
coefficients. It appears to be a straightforward manipulation of  
coefficients, their covariance matrix and sums of squares from two or  
more OLS regressions. I have placed a PDF with the relevant pages on

http://fmwww.bc.edu/cfb/stata/Tiao-Goldberger.pdf

for those interested. It would be quite simple to program as an ado- 
file in Stata.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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