* Reference: Chapter 7 of * Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach, * South-Western College Publishing, 2000. SAMPLE 1 732 READ (GPA3.shd) term sat tothrs cumgpa season frstsem crsgpa & verbmath trmgpa hssize hsrank id spring female black white & ctrmgpa ctothrs ccrsgpa ccrspop cseason hsperc football SET MISSVALU=-999 SET SKIPMISS * Chow test for differences in regression functions across groups. * Restrict to the spring semester SET NOWARNSKIP SKIPIF (spring.eq.0) * Generate interaction variables GENR femsat=female*sat GENR femhsp=female*hsperc GENR femtoth=female*tothrs * Equation (7.22), p. 230. OLS cumgpa female sat femsat hsperc femhsp tothrs femtoth * Test of significance - the F-test statistic is the Chow statistic. TEST TEST female=0 TEST femsat=0 TEST femhsp=0 TEST femtoth=0 END * Test for joint significance of all interactions (see p. 232). TEST TEST femsat=0 TEST femhsp=0 TEST femtoth=0 END * Predict the difference in GPA for a female athlete compared to a * male athlete for sat=1100, hsperc=10 and tothrs=50. TEST female+femsat*1100+femhsp*10+femtoth*50 * The above method for obtaining a Chow test statistic requires estimating * a regression equation with a full set of interaction variables. * An alternative method for obtaining the Chow test statistic * is to use the DIAGNOS command following an OLS regression. * First, the data set must be arranged with all observations for the * first group, followed by the observations for the second group. * The SORT command is used to rearrange the data. * The first variable on the SORT command is the sort variable. * The DESC option specifies that the sort is in descending order. * This ensures that all the female students (female=1) are in the first * group and the male students (female=0) are in the second group. * Warning: ALL variables to be used in subsequent analysis must * must be included on the SORT command. SORT female cumgpa sat femsat hsperc femhsp tothrs femtoth / DESC * The STAT command is used to count the number of female students * in the sample. STAT female / SUMS=Nfemale PRINT Nfemale * OLS regression OLS cumgpa sat hsperc tothrs * The CHOWONE= option on the DIAGNOS command specifies the * number of observations in the first group. DIAGNOS / CHOWONE=Nfemale * Equation (7.25), p. 232. OLS cumgpa female sat hsperc tothrs STOP