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SAS/ETS Examples

Chow Test for Structural Breaks


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SAS Program

/* Chow Test for Structural Breaks */

title1 ' CHOW Test ';

data food;
   input year q p y @@;
   retain one 1;
   lnq = log(q);
   lnp = log(p);
   lny = log(y);
datalines;
 27  88.9   91.7   57.7
 28  88.9   92.0   59.3
 29  89.1   93.1   62.0
 30  88.7   90.9   56.3
 31  88.0   82.3   52.7
 32  85.9   76.3   44.4
 33  86.0   78.3   43.8
 34  87.1   84.3   47.8
 35  85.4   88.1   52.1
 36  88.5   88.0   58.0
 37  88.4   88.4   59.8
 38  88.6   83.5   55.9
 39  91.7   82.4   60.3
 40  93.3   83.0   64.1
 41  95.1   86.2   73.7
 48  96.7  105.3   82.1
 49  96.7  102.0   83.1
 50  98.0  102.4   88.6
 51  96.1  105.4   88.3
 52  98.1  105.0   89.1
 53  99.1  102.6   92.1
 54  99.1  101.9   91.7
 55  99.8  100.8   96.5
 56 101.5  100.0   99.8
 57  99.9   99.8   99.9
 58  99.1  101.2   98.4
 59 101.0   98.8  101.8
 60 100.7   98.4  101.8
 61 100.8   98.8  103.1
 62 101.0   98.4  105.5
;
run;

proc print data=food (obs=8);
   var q p y lnq lnp lny;
run;

ods select  Autoreg.Model1.Dependent
            Autoreg.Model1.OLSEst.FitSummary
            Autoreg.Model1.OLSEst.ChowTest
            Autoreg.Model1.OLSEst.ParameterEstimates;

ods html body='chowOut.htm';

proc autoreg data=food;
   model lnq = lnp lny / chow=(15 16 17);
run;

ods html close;