Hi ,
Is this program available for stata or sas?
The clemao package uses logs and some of my values are negative, I am
not sure howI can accommodate them. any thoughts?
thanks
rich
On 9/14/08, Robert A Yaffee <[email protected]> wrote:
> 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/
>
*
* 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/
