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Re: st: ZANDREWS
Dear Richard,
if you are looking for structural breaks in the data, why don�t you
use Chow Test?
As I understand, Zandrews is a unit root test allowing for structural
change. According to Professor Robert, there are two significant level
shifts in the series. Zandrews test is for only one break. With 2
breaks you can use clemao2 or clemio2 -findit clemao_io-.
See Kit�s paper "Stata: the languague of choice for time series
analysis?" to understand these unit root tests. You can download it
free:
http://www.stata-journal.com/article.html?article=st0080
Hope this helps,
Joao Lima
2008/9/13 Richard Harvey <[email protected]>:
> hello statalisters,
>
> I have the following time series data
>
> Months MNval
> -36 -246404.3
> -35 -271136.9
> -34 15321.21
> -33 -266850.2
> -32 -208945.8
> -31 -223758.4
> -30 -152778.7
> -29 -65240.22
> -28 -481321.3
> -27 -190169.6
> -26 -112362.4
> -25 -467139.1
> -24 -194511.7
> -23 -444933.2
> -22 -142801.8
> -21 -108734.8
> -20 -217134.7
> -19 -285050.4
> -18 -59074.71
> -17 -22606.87
> -16 -124248.8
> -15 -190182.6
> -14 -142432.7
> -13 -137051
> -12 55313.91
> -11 -33965.3
> -10 -274899.1
> -9 25388.8
> -8 -57483.93
> -7 -39486.45
> -6 -54602.45
> -5 -239732.4
> -4 -294504.7
> -3 -334388.7
> -2 -287347.5
> -1 -87598.81
> 0 -580743.6
> 1 -160395.5
> 2 -575569.9
> 3 -255174.5
> 4 -126203.1
> 5 -375763.7
> 6 -32561.49
> 7 -87045.1
> 8 -91822.47
> 9 -31134.7
> 10 -102519
> 11 -84379.84
> 12 -266297.5
> 13 -80520.79
> 14 -48140.91
> 15 27969.55
> 16 -38107.77
> 17 -127254
> 18 -171679.9
> 19 -25015.38
> 20 -92405.42
> 21 75767.31
> 22 -45497.32
> 23 -188625.2
> 24 30972.86
> 25 -4018.882
> 26 -32145.2
> 27 -80913.73
> 28 -24621.37
> 29 -61688.87
> 30 -123890.4
> 31 -45585.37
> 32 -132729.1
> 33 -106762.2
> 34 -143616.2
> 35 -215439.4
> 36 -133058.6
>
> I would like to see if and when there are any structural breaks in the data.
>
> I came across Kit's zandrews prog. -ssc d zandrews- is this the
> command to use? the graph option on this looks very useful.
> But how does one interpret the break point t-stats? When i use the
> command with the above data. I do not find any point above the
> (critical 5%: -4.42).
> so does this mean that the series does not have any significant breakpoints ?
>
> thanks very much for you time
> rich
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
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