• Title/Summary/Keyword: Chow test

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Testing the Equality of Two Linear Regression Models : Comparison between Chow Test and a Permutation Test

  • Um, Yonghwan
    • Journal of the Korea Society of Computer and Information
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    • v.26 no.8
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    • pp.157-164
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    • 2021
  • Regression analysis is a well-known statistical technique useful to explain the relationship between response variable and predictor variables. In particular, Researchers are interested in comparing the regression coefficients(intercepts and slopes) of the models in two independent populations. The Chow test, proposed by Gregory Chow, is one of the most commonly used methods for comparing regression models and for testing the presence of a structural break in linear models. In this study, we propose the use of permutation method and compare it with Chow test analysis for testing the equality of two independent linear regression models. Then simulation study is conducted to examine the powers of permutation test and Chow test.

A Stability Test of the Regression Coefficients for the Linear Models using Chow Test (차우검정을 활용한 선형회귀모형간 유사성 검증)

  • Lee, Ki-Young;Lee, Seongkwan Mark;Jeong, So-Young;Heo, Tae-Young
    • The Journal of The Korea Institute of Intelligent Transport Systems
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    • v.16 no.2
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    • pp.73-82
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    • 2017
  • In this research, we tried to check the applicability of a Chow test to the linear models which are generated in the process of transportation planning or traffic flow analyses. The Chow test is a very popular statistical method which is being used to see if the coefficients from two separate linear regression models are equal or not. In order to prove the effectiveness of the Chow test, we found the linear relationships between speed and density under the situations such as driving in daytime and in nighttime on a rainy day. Based on the two months of Joong-Bu Expressway traffic data, we proved that the Chow test is useful to testify the similarity between two linear regression models. And this statistical tool seems to be able to have a very important role in traffic flow analysis or in transportation planning process. Finally, we expect the Chow test be implemented even to the non-linear regression models or to the multi-variate models.

Determinants of Korea's Trade before and after the 2008 Financial Crisis Activating Augmented Gravity Model (중력모형을 이용한 2008년 금융위기 전후 한국의 교역결정요인 분석)

  • Lee, Doowon;Kim, Donghee;Park, Seokwon
    • International Area Studies Review
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    • v.16 no.1
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    • pp.243-274
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    • 2012
  • This research analyzes the determinants of Korea's trade using the Gravity model, Chow test and panel data anaysis. According to the pooled panel OLS analysis using the gravity model and Chow-test, Korea's trade patterns before and after the 2008 financial crisis are heterogeneous. Variables of basic gravity model, GDP per capita, distance, and population, identically showed positive and significant correlation with trade volume before and after financial crisis, but also equally showed the decrease in absolute value of coefficient. On the other hands, Overseas Direct Investments(ODI) variable showed the increase in absolute value of coefficient. But TCI was no longer significant. This research is significant in that it is able to show the strategy for the long term growth in Korea's volume of international trade through econometric analysis based on data of 55 trading partner of Korea.

The Existence of Random Walk in the Philippine Stock Market: Evidence from Unit Root and Variance-Ratio Tests

  • CAMBA, Abraham C. Jr.;CAMBA, Aileen L.
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.10
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    • pp.523-530
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    • 2020
  • The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

A Study on Comparison of Excellence Among of P-Model, E-Model, and GAP-Model

  • Cho, Yoon-Shik;Doh, Min-Sun
    • Journal of the Korean Data and Information Science Society
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    • v.19 no.3
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    • pp.893-901
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    • 2008
  • The disconfirmation paradigm is the earliest researched and the most deeply researched of all the paradigms in marketing. Disconfirmation paradigm deals with the influence of expectation, perceived product performance, and the discord between the two on consumer satisfaction. The GAP-Model is based on the disconfirmation paradigm that tries to understand the effect of the gap between before purchase expectations and after purchase perceptions of the product performance on dependent variables such as customer satisfaction. The purpose of this research is to test whether regression coefficients of a P-Model(performance only model), an E-Model(expectation only model) and GAP(P-E)-Model are equivalent in explaining service value and loyalty. The Chow's F-Test is used to test the excellence of the 3 models. As a result of comparison and analysis, P-Model showed more excellence of service value and loyalty than E-Model or GAP-Model.

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Invariant causal prediction for time series data: Application to won dollar exchange rate data (시계열 자료에서 불변하는 인과성 탐색: 원-달러 환율 데이터에 적용)

  • Kim, Mijeong
    • The Korean Journal of Applied Statistics
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    • v.34 no.5
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    • pp.837-848
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    • 2021
  • Evaluating or predicting the effectiveness of economic policies is an important issue, but it is difficult to find an economic variable which causes a significant result because there are numerous variables that cannot be taken into account. A randomized controlled experiment is the best way to investigate causality, but it is not realistically possible to control through randomization and intervention in time series data such as macroeconomic data. Although some analysis methods have been proposed to find causality, the methods such as Granger causality method and Chow test are insufficient to explain causality. Recently, Pfister et al. (2019) proposed invariant causal prediction methods which can be applicable in time series data. In this paper, we introduce the method of Pfister et al. (2019) and use the method to find macroeconomic variables invariantly affecting the won-dollar exchange rate.

The effect of health care reform: Testing the stability of systematic risk

  • Sewell, Daniel K.;Song, Joon-Jin
    • Journal of the Korean Data and Information Science Society
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    • v.21 no.5
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    • pp.945-950
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    • 2010
  • As the U.S. Congress has continued to debate over the health care reform pushed by President Obama, there is an ample reason to believe that the systematic risk of the health care industry, especially health care plan providers, is increasing. This study measures and compares the systematic risk of two health care industry indexes and one portfolio of health care plan providers from before and after the introduction of the health care legislation into Congress in September, 2009. The Capital Asset Pricing Model (CAPM) is used to measure the systematic risk, and a dummy variable approach and the Chow test are used to formally compare the systematic risk from before and after the introduction of the legislation.

The Segmentation Hypothesis of International Capital Markets; in the Regional Stock Markets Setting

  • Ryu, Sung-Hee;Lee, Sang-Keun
    • The Korean Journal of Financial Management
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    • v.15 no.2
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    • pp.401-419
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    • 1998
  • This paper examines the international arbitrage pricing model (IAPM) in regional equity markets setting. Factor analyses are used to estimate the international common risk factors. And the cross-sectional regression analyses are used to test the validity of regional IAPMs and Chow tests are used to evaluate the integration of regional equity markets. The results of factor analyses show that the number of common factors in each regional group is seven. The cross-sectional regression results lead us not to reject that the IAPMs are regionally valid but Chow test results lead us to reject that regional equity markets are integrated.

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A Comparative Study of Statistical Methods for Population Bioequivalence in 2 X 2 Crossover Design (2 X 2 교차설계법에서 모집단 생물학적 동등성 검정 방법 비교)

  • Park Sang-Gue;Lim Nam-Kyoo;Lee Jae-Young;Kim Byung-Chun
    • The Korean Journal of Applied Statistics
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    • v.18 no.1
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    • pp.159-171
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    • 2005
  • The US Food and Drug Administration(FDA) recommends that population bioequivalence and individual bioequivalence would be assessed to address the prescribability and switchability between a brand-name drug and its new formulation or generic copy in its 2001 guidance document. The test for population bioequivalence in the latest FDA guidance is recommended in 2 x 4 crossover design, but it turns out to be very conservative. Recently Lee, Shao & Chow(2002), Chow, Shao & Wang(2003) and McNally, Iyer & Mathew(2002) proposed new statistical methods for assessing population bioequivalence between drugs to correct the biasness of current FDA method. Since 2 x 2 crossover experiment is most welcomed design in bioequivalence testing, we adopt their methods to 2 x 2 crossover designs and compare their methodologies with FDA one through the simulation study.