Dear Richard,
Professor Ruey Tsay, in 1988, wrote an article in pp 1-20 of Vol 7 of the Journal of Forecasting, entitled "Outliers, Level Shifts, and Variance
Changes in Time Series." He explains how one should do this. In answering your question, I used a program that follows his protocol.
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Richard Harvey <[email protected]>
Date: Sunday, September 14, 2008 7:35 am
Subject: Re: st: ZANDREWS
To: [email protected]
> Thanks robert, maarten and joao,
>
> I am not entirely sure I understand how prof. yafee could identify the
> two breaks he pointed out. I couldnt understand what the statement "If
> we use a 3.5 sd measure of a critical value for a standard of a level
> shift" ..
>
> Thanks for the clemao2 suggestion, I will try it out.
>
> But i have an issue with the chow test. As I under stand it uses OLS
> regression using points before and after the break point. The
> relaibaility of this test would be highly dependent on when the break
> happens, is it not? there must be enough number of time series points
> to run the regressions reliably.
>
> There is an ado which does the chow test in stata, I was looking at it
> when I got your mail. But the ado by Sean Becketti - STB: sts7
> (STB-17) has errors. When I run it, I get the following
>
> program error: code follows on the same line as open brace
> r(198);
>
> I tried to fix the ado, but now it dosent give me any results,
> nothing. Set trace on reveals nothing.
>
> thanks
> rich
>
>
>
>
>
> On 9/14/08, Joao Ricardo F. Lima <[email protected]> wrote:
> > 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
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> * 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/
*
* 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/
