Another Look at Tests of Equality between Sets of Coefficients in Two Linear Regressions

By R. Oaxaca. 1974

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Causal inference by using invariant prediction: identification and confidence intervals (2015, background): “(b) Under Gaussian errors, if (14) is true for a set S , then [Chow, 1960] where ˆ σ 2 is the estimated variance on the set I − e on which the OLS estimator is computed.”
Latino Access to Community Colleges and Hispanic-Serving Institutions: A National Study (2011, methodology): “Therefore, we conducted a Chow analog test (a likelihood ratio chi-square test) to determine whether the regression coefficients corresponding to different variables were similar for members of different racial/ethnic groups (Chow, 1960).”
Earthquake propensity and the politics of mortality prevention (2010, unknown): “The estimated coefficients across the different groups are directly comparable; tests along the lines suggested by Chow (1960) can then be applied to analyze whether any differences are statistically significant.”
Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, methodology): “We 6In untabulated results of the Chow (1960) structural break tests, we can report that both 2003 and 2007 are structural break points in the time series of IRV and the EV components. further show that, by revealing firms’ underlying information quality, DAV and ρPME,DA are related to…”
Testing for change points in time series models and limiting theorems for NED sequences (2007, background): “MR0141193 [10] Chow, Y. S. and Teicher, H. (1978).”
Empirical Analysis of CK Metrics for Object-Oriented Design Complexity: Implications for Software Defects (2003, background): “differences in a pooled sample of data [22].”
Inference on stochastic time-varying coefficient models (2014, background): “A number of tests for the presence of structural change of that form exist in the literature starting with the ground-breaking work of Chow (1960) who assumed knowledge of the point in time at which the structural change occurred.”
Inference of time-varying regression models (2012, background): “There is a huge literature on the problem of testing parameter stability; see, for example, [2, 5, 9, 14, 16, 18, 27, 31, 32, 38, 40, 42, 53].”
An Automatic Test of Super Exogeneity (2010, background): “…serial correlation (Far: see Godfrey, 1978);kth-order autoregressive conditional heteroskedasticity (Farch: see Engle, 1982); FChow for parameter constancy overk periods (see Chow, 1960); andSC is the Schwarz criterion (see Schwarz, 1978);∗ and∗∗ denote significant at 5% and 1% respectively.”
Model-Based Recursive Partitioning (2008, methodology): “This test statistic is asymptotically equivalent to the supremum of likelihood-ratio (or Chow) statistics (Chow 1960) but has the advantage that the model has to be ﬁtted only once under the null hypothesis of parameter stability and not under the alternative for each conceivable change point.”
How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? (2004, background): “Chow (1960) proposed an F-test for a single structural break in a linear regression model.”
Taxes, keiretsu affiliation, and income shifting (2004, methodology): “27The Chow (1960)–Fisher (1970) test on the equality of b5 in the pre-recession and recession regressions indicates that the estimated coefficients are different (po0:01).”
Efficient Tests for General Persistent Time Variation in Regression Coefficients (2006, methodology): “With τ1 unknown, Quandt (1958, 1960) suggested considering the maximum of the usual Chow (1960) F-tests computed over all possible τ1, denoted here by supF.”
Age Trends in Daily Social Contact Patterns (2011, background): “Chow tests (Chow 1960) confirm that models predicting overall rates of social contact yield significantly different equations for men and women, F(56, 19,239) = 4.”