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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件
2191 1
2009-06-22
Does anyone know some literatures about the comparison of Chow-test statisticsfrom different models?

If I have two different regression models(different # of regressors) for same data set, and I do Chow test for these 2 different regression models. Does the resulted Chow-statistics compariable? Can I conclude that the model, which has larger Chow-statistics, is better than the other one?  

Thanks in advance!
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2009-6-23 15:56:53
I think you need to read something about non-nested hypotheses. Chow test is just the traditional nested test.
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