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Has anyone used Excel or R Studio to do a simple Chow Test (compare a set of data before and after one particular year)? I have tried to find info but there is not much, especially regarding the use of Excel.

I have monthly CDS values from January 2004 to December 2010. I have to split them in two - 2004-2006 and 2007-2010 - and I have to see how they changed from one period to another. The values are in basis points.

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  • $\begingroup$ Isn't this just done in Excel by calculating a linear regression for each period, and calculating the Chow statistic using the squared residuals from each regression? Otherwise the R package strucchange should do it. $\endgroup$
    – Forgottenscience
    Commented Aug 1, 2016 at 13:28
  • $\begingroup$ As I am quite new to regression methods I want to be sure that I understand what I am doing so please bear with me just a little! Now, this is what I do not get: Which of the Excel functions I must use for the Chow Test? Thank you! $\endgroup$
    – RobertC
    Commented Aug 1, 2016 at 13:41
  • $\begingroup$ The Chow test helps us figure out if two sets of data may be pooled because they have the same slope and intercept. Could you take a look at iuj.ac.jp/faculty/kucc625/method/panel/chow_test.pdf (and an example in Stata) and maybe ask your question again? $\endgroup$
    – rajah9
    Commented Aug 2, 2016 at 13:41
  • $\begingroup$ @RobertC: A very warm welcome to Quant.SE and thank you for your question. See my answer below: quant.stackexchange.com/a/28452/12 $\endgroup$
    – vonjd
    Commented Aug 3, 2016 at 7:35

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You can do a Chow test with the strucchange package in R. You can find the full documentation here.

The package comes with a vignette which shows how to use it (see p. 9ff. if you want to dive into an example without further ado).

I don't know whether there is an appropriate Excel add-in available but in general I would not recommend doing these more sophisticated analyses in Excel anyway.

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