Parameter stability testingg

General DSGE Modeling
1

Dear @jpfeifer,

I am having a major issue at testing for parameter stability, using ESS procedure, developed by Inoue and Rossi. For Slovenia and Italy, I obtain perfect result, a positive SupLR value, that is result of Andrews (1993) QLR test. However, for Austria, the value is negative! If I make a modification to the formula for Chow test, than the SupLR value becomes positive, however, I can’t change the methodology for consistency reasons.

Do you have any idea what is wrong with Austria?

Thank you so much!

Here is the formula, line 53 in attached file:

  1. original with minus in the beginning:
chow=-2*(L-(L1*(t2/T)+(1-t2/T)*L2));
  1. modified without minus in the beginning:
chow=2*(L-(L1*(t2/T)+(1-t2/T)*L2));

EDIT: I corrected the number of quarters to T=117 and ran test.m again, but SupLR is still negative!

test.m (4.4 KB)

2

Without more context, it is impossible to tell. Do you make sure that you are correctly working with likelihoods as opposed to log likelihoods where appropriate?