Robert
First of all thank you very much for your mail. I've heard about the rolling
procedure and I thought that there was a command available that performs
that kind of procedure. I am really interested in your release. Thanks
again,
Mariano
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Robert A Yaffee
Sent: Mi�rcoles, 15 de Febrero de 2006 03:55 p.m.
To: [email protected]
Subject: Re: st: Structural break
Mariano,
Have you investigated the rolling procedure. This will do
rolling window regression or recursive least squares estimation. The
explication of Kit Baum's procedure in the Stata Time Series Reference
manual shows how it can do this. With it you can generate a new data set
which will reveal locations of structural breaks in your data.
To confirm the significance of such breaks, you can always use the
Chow test.
- Regards,
Robert Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: Mariano Alvarez <[email protected]>
Date: Wednesday, February 15, 2006 1:52 pm
Subject: st: Structural break
> Hi everyone,
> I am trying to perform a code in order to identify structural
> breaks. Since
> I have a large panel with several countries, my intention is to
> write a code
> that allows me to identify structural breaks (without a prior
> knowledge of
> the possible breaks dates). I wonder if someone could tell me if
> there is a
> command that helps me. Thanks in advance,
>
> Mariano
>
>
> *
> * For searches and help try:
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> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
