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Old 01-29-2010, 09:37 PM
Frusciante85 Frusciante85 is offline
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Default Quandt-Andrews und Chow

Hi, I've been running a Quandt-Andrews-Test to identify a structural break in my time series data. The test leads to a date which perfectly fits the economic background but is not very significant (p value is 0.187 for maximum wald statistic and 0.21 for exp wald statistic). But when I take the breakpoint and run a chow test I get a good significant result.
So, my first question: Is this a common result if both test are combined?
And: Is it statistically feasible to take the not significant result of the QA-test and use it for chow's?

Thanks in advance for your help!
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chow, quandt-andrews, structural break, time series

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