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F- Test Applications

F- Test Applications. Time Series Applications. Chow Test for structural change. Actual, Fitted, Residual graph. The Gann Initiative. 1977-Limit Government in Real Terms Per Capita Two periods 1968-69 through 1977-78 1978-79 through 2007-08. Genr periodone=0, type in ones

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F- Test Applications

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  1. F- Test Applications

  2. Time Series Applications • Chow Test for structural change

  3. Actual, Fitted, Residual graph

  4. The Gann Initiative • 1977-Limit Government in Real Terms Per Capita • Two periods • 1968-69 through 1977-78 • 1978-79 through 2007-08

  5. Genr periodone=0, type in ones Genr periodtwo=1, type in zeros

  6. Genr timeone=periodone*time Genr timetwo=periodtwo*time

  7. Regression • Ratio = c(1)*periodone + c(2)*timeone + c(3)*periodtwo + c(4)*timetwo +e(t)

  8. F-Test • F2, 36 = [SSR2 - SSR4 ]/2 ÷ SSR4/(40-4) • F2, 36 = [13.31 – 7.40]/2 ÷ 7.40/36 • F2, 36 = 2.96/0.206 = 14.4

  9. Genr: Fvar=@rfdist(2, 36) Genr: Density=@dfdist(Fvar, 2, 36)

  10. F density for 2 and 36 Degrees of Freedom 14.4 3.27 5%

  11. Can you go from 2 parameters to 4 parameters? • Yes, there is a significant increase in explained variance, indicating a structural change after the passage of the Gann Initiative in 1977

  12. Alternatively, can you estimate a single time trend instead of two time trends? • No, two time trends fits the data significantly better

  13. Wald Test

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