SAS FAQ How Do I perform Chow test in SAS using proc autoreg?
Chow test is an F-ratio test and it is for testing structural change in regression analysis for large samples. It is used mostly in time-series models. Here we are going to show an example using hsb2.sas7bdat. Our data set hsb2 consists of high school student scores on various tests and their demographical information. Let’s say our model is a regression model of writing scores on math and reading scores. Furthermore we want to test if the regression model will be different for male and female students. In other words, we want to test if the same regression coefficients apply to both male students and female students in the data set or there are two subsets with different intercepts and slopes. We will use Chow test for this purpose. Since Chow test is mostly used in time series, SAS has included it with proc autoreg. The way to specify the two subsets is to specify the breakpoint in terms of the position of the observations. In this example, we use proc freq to identify the position f
