Introductory Econometrics: A Modern Approach 6th Edition by Jeffrey M Wooldridge

Exercise 16

The following equations were estimated using the data in ECONMATH. The first equation is for men and the second is for women. The third and fourth equations combine men and women.

(i) Compute the usual Chow statistic for testing the null hypothesis that the regression equations are the same for men and women. Find the p-value of the test.

(ii) Compute the usual Chow statistic for testing the null hypothesis that the slope coefficients are the same for men and women, and report the p-value.

(iii) Do you have enough information to compute heteroskedasticity-robust versions of the tests in (ii) and (iii)? Explain.