RDP 8703: Money Demand, Own Interest Rates and Deregulation Appendix B: Test Results

Adrian Blundell-Wignall and Susan Thorp

May 1987

Chow Test for Structural Break
Equation Break Point Degrees of Freedom Statistic
M1 (a) 1976Q1 (7,35) 3.35**
    198501 (5,37) 2.78*
M3 (a) 1983Q1 (7,24) 4.25**
    1985Q1 (5,26) 4.89**
BM (a) 1979Q1 (7,25) 1.81
    1985Q1 (5,26) 2.93*

Note (a) Break at observation indicated by plot of Quandt's log-likelihood ratio
** Indicates rejection of the null at the 1% level
* Indicates rejection of the null at the 5% level

Breusch-Pagan Test for Heteroskedasticity
~ χ2k−1
Equation Degrees of Freedom Statistic
M1 6 9.64
M3 6 15.37*
BM 6 14.14*
Brown Durbin and Evans' Homogeneity Test
Equation Sample Size (n) Degrees of Freedom Statistic
M1 15 (14,28) 0.44
  16 (14,28) 0.23
  17 (7,35) 2.28
  18 (7,35) 2.21
  19 (7,35) 1.99
  20 (7,35) 1.71
  21 (7,35) 1.53
  22 (7,35) 1.09
  23 (7,35) 0.98
  24 (7,35) 0.65
M3 10 (19,17) 0.74
  11 (14,17) 0.68
  12 (14,17) 0.50
  13 (7,24) 2.75*
  14 (7,4) 2.42
  15 (7,24) 2.26
  16 (7,24) 1.73
  17 (7,24) 1.65
  18 (7,24) 1.31
  19 (7,24) 1.02
BM 10 (14,17) 0.68
  11 (14,17) 0.47
  12 (14,17) 0.28
  13 (7,24) 2.51*
  14 (7,24) 2.58*
  15 (7,24) 2.29*
  16 (7,24) 1.68
  17 (7,24) 1.48
  18 (7,24) 1.06
  19 (7,24) 0.58