Chow test

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The null hypothesis is that the response variable Y is related to k explanatory variables by the multiple regression model E(Y)=Xβ, for which the residual sum of squares (see ANOVA) is R. The data consists of two sub-samples (1 and 2; of sizes n1 and n2) and the alternative hypothesis is that in sub-sample (j=1,2) the model is E(Y)=Xβj with residual sum of squares Rj. The Chow test, introduced in 1960, assumes independent normal errors and has test statistic F, given by . The test statistic is compared with an F-distribution having k and n1+n2-2k degrees of freedom.

Subjects: Probability and Statistics.

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