A Two-Way Generalisation of The Chow Test: The General Case

Abstract

ABSTRACT While Chow test is applicable for testing the equality between sets of coefficients in two   linear regressions, this paper attempts to construct a test procedure not only to compare the equality between sets of coefficients in two linear regressions, but also, in case they are not equal, to provide detailed informations about the inequality of the sets. Not only that, in this paper we also try to accomplish all these for not just only two linear regressions but for all possible pairs of linear regressions out of any number of given linear regressions, thus generalising the Chow test in two directions. The procedure is then illustrated through comparison of Engel curves on food for different Socioeconomic groups of Rural India, using NSS data.