I was wondering if somebody has written program to
perform a similar type of stability test for cross
section data. For example when we might presume that
there might be changes in parameters across some
regime variable.
Of course I can do a chow test but is there any
pre-packaged procedure?
thanks for any advice on this matter!
Julio
--- baum <[email protected]> wrote:
>
> --On Friday, October 11, 2002 2:33 -0400 David
> wrote:
>
> > The time series library contains a program for
> performing the Hansen
> > test, to determine whether the regression
> coefficients in a time series
> > regression are stable. It was written for an
> earlier version of Stata.
> > When I use it I receive an error message, "invalid
> 'and'", even though
> > the letters "and" do not appear in the syntax. Has
> someone written a
> > file that will perform the Hansen test (or the
> CUMSUMSQ test) that will
> > work with version 7? David Greenberg, Sociology
> Department, New York
> > University.
>
> W.r.t. cusum or cusum2, please see my module
> -cusum6- (findit cusum6) which
> was a hack of the original to deal with these syntax
> issues.
>
> I do not see that error with -hansen-:
>
> . which hansen
> ~:ado:stbplus:h:hansen.ado
> *! hansen--Bruce Hansen's test for parameter
> instability
> *! version 1.1.0 Ken Heinecke Dec 1994
> sts7.5: STB-23
>
> . which tsfit
> ~:ado:stbplus:t:tsfit.ado
> *! tsfit -- estimate a time series regression
> *! version 1.0.0 Sean Becketti September
> 1993 STB-15: sts4
>
> . hansen fiuscpi fiusgdp lfiuscpi
>
>
> Individual Statistics
>
> fiusgdp = .9756908
> lfiuscpi = .28176223
> _cons = 1.091777
> sigma = .48100879
>
>
> Joint test statistic with 4 degrees of freedom:
>
> _Lc = 4.2209716
>
> Adding the regress option works also.
>
> Kit
>
________________________________________________________________________
> Christopher F Baum, Boston College Economics,
> Chestnut Hill MA 02467 USA
> [email protected]
> http://fmwww.bc.edu/ec-v/baum.fac.html
> *
> * For searches and help try:
> *
> http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
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